Volumes are very light and levels of implied volatility are coming down noticeably across much of the market Tuesday. With thirty minutes remaining to trade, 5.8 million calls and 5.5 million puts traded, which is about 75 percent the average volume seen during the past month. CBOE Volatility Index (.VIX), which hit a multi-month high of 27.73 Monday morning, is down 1.41 to 24.71 amid very quiet trading in the VIX pit. 147,000 calls and 89,000 puts so far. While it’s been a slow news day, the decline in implied volatility is notable in a number of large cap names as well. For example, 30-day ATM implied vols in Wells Fargo (WFC) options fell 11 percent to 336. GS vols are down 10.8 percent to 39.3, AXP falling 9.6 percent to 28.5, and MA off 8.5 percent to 32.5.
Category: All Indexes
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Frederic Ruffy is a well-known trader, writer, and strategist who has spent years educating investors and creating intelligent, insightful, unbiased market observations that are frequently cited by the Wall Street Journal and other financial publications. As senior analyst, Fred provides frequent and regular notes and daily updates for activity of interest.