NASDAQ OMX Group Inc (NDAQ) $22.29 -3.09%
Nasdaq OMX option volume and implied volatility spiked this morning when it became clear that the exchange was having trouble opening Facebook for trading on-time at 11am. While 643 contracts had traded in the first 90mins of the day, between 11am and noon we saw 6700 contracts trade, and implied volatility in NDAQ options spike more than 30% to 38%. Heading into the close NDAQ volume is nearly 18x normal, with 10,000 puts and 2700 calls trading on the day and shares down about 3% near 22.29. May 23 puts that expire in a few minutes lead the most actives with 4700 and an average price of 26cents, but buyers have also scooped up June 21 and 23 strike puts, causing the 25delta put-call skew to steepen by nearly 8 points.
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About the Author (Author Profile)
Henry Schwartz is the president of Trade Alert LLC, a provider of real-time options analysis tools to leading Wall Street firms. His systems analyze hundreds of thousands of transactions per second to help professionals identify and interpret market activity in real time, supporting informed trading decisions and intelligent idea generation. He has held institutional trading and management roles with Bank of America, Bear Stearns, Salomon Brothers and the Hull Group, and made markets on the CBOE and AMEX floors in the US, and EUREX and MONEP overseas. Prior to founding Trade Alert, he led the electronic market-making group at Bank of America coincident with the launch of the International Securities Exchange. He received his bachelor’s degree in Economics from the University of California, San Diego and his MBA from NYU’s Stern School of Business.
