Volatility High on the Nasdaq

As mentioned this morning, volatility in the Nasdaq, as measured by the VXN, continues to stay lofty, while the I.V. of the S&P 500, as measured by the VIX, continues to sink back toward its 10-day moving average.

The most active options, or those logging above-average volume, are mostly earnings related issues. These include Texas Instruments (TXN), McDonald's (MCD) and Coach (COH).

Shares of McAfee (MFE) are getting hammered, down almost 20%, causing a rush into the February $22.50 puts, which have traded over 7,500 contracts compared with prior open interest of just 21 contracts in the strike. The implied vol. of the front-month has jumped to 44% from 25% today.

RF MicroDevices (RFMD) reports earnings after the bell and right now almost all the volume is on the call side, with the focus in the Feb. $7.50s, which have traded over 1,400 contracts. The implied vol. of the Feb. options has jumped to 64%, well above the 30-day historical 38% of the stock.

The steel stocks are hitting new 52-week highs again, but the option action seems protective, with put volume in Nucor (NUE) and U.S. Steel (X) running about 5:3 over call volume today.

Check out my discussion with Ned Bennett, the COO of OptionsXpress (OXPS), on StreetWatch

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Steven Smith writes regularly for TheStreet.com. In keeping with TSC's editorial policy, he doesn't own or short individual stocks. He also doesn't invest in hedge funds or other private investment partnerships. He was a seatholding member of the Chicago Board of Trade (CBOT) and the Chicago Board Options Exchange (CBOE) from May 1989 to August 1995. During that six-year period, he traded multiple markets for his own personal account and acted as an executing broker for third-party accounts. He appreciates your feedback; click here to send him an email.

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