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On Sunday, Eurasia Group President Ian Bremmer wrote about the scale of recent events in Ukraine: "As Russia conducts direct military intervention in Ukraine, the US and Europe condemn it, and the Ukrainian army goes on high alert, we're witnessing the most seismic geopolitical events since 9/11." But the options market is not yet convinced of that assessment.

Russian stocks fell 10% in early trading on Monday, but the reaction in the Market vectors Russia ETF (RSX) has been more bullish than we would have expected. Implied volatility in March options climbed above 50%. The last time implied volatility in the ETF was this high was during the worst of the European debt crisis in 2011. In 2008, RSX one-month option premiums climbed briefly as high as 150%. While the jump in option premiums is noteworthy, it would take several days or weeks of trading at these elevated levels of volatility to bring the current situation up to the levels of other crises in the last several years.

After the first hour of trading, RSX shares had risen to just -7% on the day, and volume in RSX options was over 79,000 contracts, nearly 19X the average daily volume in the options on this ETF. The largest orders so far on the day were mostly puts transacted at the bid price, suggesting investors eager to capture some of the inflated option premium. One customer sold the March 21 puts 19,150 times for a price of $0.40.

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At the time of publication, Jared Woodard held no positions in the stocks or issues mentioned.