Implied Volatility Mover
CBOE Volatility Index (.VIX) is falling sharply, as the S&P 500 Index (.SPX) rallies 14.19 points to 1512.30 and notches new five-year highs Friday. VIX, which tracks the expected or implied volatility priced into SPX options, is falling now that this week’s economic stats have been released and the important “event risk” is now off the table. VIX is down 10.8 percent since Wednesday. Volumes in the VIX pit are light despite the big move in the index. About 122,000 calls and 70,000 puts so far.
Volume Signals
AIG options volume is running 2X the (22-day) average, with 122,000 contracts traded and call volume accounting for 75 percent of the volume.
Keryx Pharmaceuticals (KERX) options volume is 3X, the average daily, with 63,000 contracts traded and put volume representing 63 percent of the activity.
National Oilwell (NOV) options volume is running 2X the average daily, with 28,000 contracts traded and put volume accounting for 58 percent of the activity.
Increasing options activity is also being seen in Allstate (ALL), Rite Aid (RAD), and Manitowac (MTW).
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