Implied Volatility Mover
Implied volatility across much of the options market is ticking a bit higher today. CBOE Volatility Index (.VIX), which dropped .30 points to 12.64 yesterday, is up .30 to 12.94. The settlement value for VIX February option printed this morning and was 13.07, down from 13.69 in January. Now that the February contracts have expired, there’s interesting building in the March term. March 25 calls, March 22 calls, and March 15 puts are the most actives in the VIX pit. Meanwhile, the NASDAQ Volatility Index (.VXN), which tracks the implied vols of the NASDAQ 100, is up .93 to 13.99 and the Dow Jones Volatility Index (.VXD) edged up .20 to 12.32.
Volume Signals
Cleveland Cliffs (CLF) options volume is running 2.5X the (22-day) average, with 36,000 contracts traded and put volume accounting for 54 percent of the volume
US Airways (LCC) options volume is 2.5X, the average daily, with 23,000 contracts traded and call volume representing 55 percent of the activity.
International Paper (IP) options volume is running 4X the average daily, with 42,000 contracts traded and call volume accounting for 99 percent of the activity.
Increasing options activity is also being seen in Melco Crown Entertainment (MPEL), Rackspace (RAX), and Dean Foods (DF).
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