Overall volumes are up, but volatility is easing again Thursday. 2.7 million calls and 2.5 million puts traded across the exchange so far. The projected volume of 20.6 million is on pace with Friday’s tumultuous trading day when 21 million contracts changed hands and overall volume totals hit their highest levels since May expiration Friday. Meanwhile, VIX is down .73 to 21.43 and now 6.3 points, or 22.7 percent, below Monday morning’s multi-month high of 27.73.
Falling vols are being seen throughout the market, including noticeable declines in options on some of the European banks. For example, 30-day ATM vols on Banco Santander (STD), the Spanish bank, are down 5 percent to 57 today and off almost 25 percent since Friday. Credit Suisse (CS) is easing 4.5 percent to 42.5 today and down from almost 50 Friday. IV in Deutsche Bank (DB) options is off 1 percent to 52.5, falling 13.2 percent this week. The decline in levels of implied volatility is also noteworthy because it comes amid increasing levels of realized or historical volatility. 30-day historical volatility of the S&P 500 is now 17.2 percent, compared to less than 13 percent on May 31.
Category: All Stocks
About the Author (Author Profile)
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.