Finally, S&P volatility continues to moderate on back of a triple-digit election rally today, with the CBOE Volatility Index ticking in at 44.44 over the noon hour. Early sentiment favors the VIX continuing its trajectory south of the 45% mark over the coming weeks, with more than half the volume at the November 45 put strike bought on the offer today.
We are, however, mindful of the dramatic accumulation in open interest that has occurred in March 40 VIX calls as shares have stabilized over the past several consecutive sessions. In the past five days, open interest at this deep-in-the-money strike has risen from 16,000 contracts to more than 160,000, according to Bloomberg data.
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Options Volatility-Selling Continues 11/3/2008 4:02 PM EST In a ho-hum day, options players are taking the trades where they can.
Options Options See Wacky End to October 10/31/2008 3:48 PM EDT Here's a treat: Option traders are playing on a volatility comedown.
At the time of publication, Darst had no positions in the stocks mentioned.
Rebecca Engmann Darst is the Portfolio Manager for TheStreet.com?s Options Alerts Portfolio newsletter and an equity options analyst for RealMoney Each Thursday at 6:30 a.m. EST, she delivers the early-morning lowdown on option volume and sector trends on CNBC's "Squawk Box."
Prior to her work in the equity options market, she spent seven years in Scandinavia as a Copenhagen-based chief reporter for a European Commission news service, correspondent for Spanish daily El Mundo and Radio Netherlands, followed by stints at Nordea Bank and Saxo Bank.
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