Implied Volatility Mover
CBOE Volatility Index (.VIX) is rallying 3.72 points to 17.68, as the S&P 500 drops 27.89 points to 1,546.68, near session lows. VIX April options expiration is today and the settlement print is 15.86. While that’s the highest of 2013, it is also well below today’s highs. Most of the gains in the index Wednesday have occurred after the settlement value was computed. Meanwhile, trading has been relatively active in the VIX pit so far, as some positions are now being opened in later months after the April contracts came off the board. 396K calls and 183K puts so far.
Volume Signals
iShares China Fund (FXI) options volume is running 3.5X the (22-day) average, with 259,000 contracts traded and put volume accounting for 96 percent of the volume.
Sprint (S) options volume is 2.5X, the average daily, with 227,000 contracts traded and call option volume representing 68 percent of the activity.
SLM options volume is running 36X the average daily, with 48,000 contracts traded and call volume accounting 67 percent of the activity.
Increasing options activity is also being seen in Sandisk (SNDK), Cirrus Logic (CRUS), and Oil Service HOLDRS (OIH).
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