Implied Volatility Mover
CBOE Volatility Index (.VIX) dropped 1.74 to 12.65 after rallying 22.7 percent Monday and Tuesday. VIX March options expired today and the settlement value (VRO) was 12.64, which is the lowest since April 2007. The volatility index hit five-year lows of 11.05 last week before rebound Monday and Tuesday. Meanwhile, trading in the VIX pit remains active. 600,000 calls and 165,000 puts so far, as some investors are probably opening new positions to replace March call options that expired on VIX expiration Wednesday.
Volume Signals
Symantec (SYMC) options volume is running 2.5X the (22-day) average, with 22,000 contracts traded and call volume accounting for 99 percent of the volume.
FedEx (FDX) options volume is 3.5X, the average daily, with 21,000 contracts traded and put volume representing 61 percent of the activity.
GlaxoSmithKline (GSK) options volume is running 3X the average daily, with 13,000 contracts traded and put volume accounting for 17 percent of the activity.
Increasing options activity is also being seen in Williams Sonoma (WSM), State Street (STT), and Walter Investments (WAC).
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