Implied Volatility Mover
CBOE Volatility Index (.VIX) is rebounding from steep losses suffered in recent days. The index, which tracks the expected or implied volatility priced into S&P 500 options, dropped 1.03 points to 11.56 and closed below 12 for the first since April 2007 yesterday. Prior to today, VIX had tumbled 39 percent in just two weeks. Today, however, the index is up .85 to 12.41 after the S&P 500 moved to new five-year highs early, but then lost 4.59 points to 1551.63 through midday.
Volume Signals
Goldcorp (GG) options volume is running 2.5X the (22-day) average, with 49,000 contracts traded and call volume accounting for 53 percent of the volume.
Merck (MRK) options volume is 2.5X, the average daily, with 65,000 contracts traded and call volume representing 64 percent of the activity.
iShares EAFE Fund (EFA) options volume is running 5X the average daily, with 52,000 contracts traded and put volume accounting for 98 percent of the activity.
Increasing options activity is also being seen in Time Warner (TWX), Nike (NKE), and Dean Foods (DF).
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