Volatility as an asset class:
CBOE Volatility Index (VIX) is recently up 1.74 to 17.19, above its 50-day moving average of 16.90. June at the money 21 call volatility is at 121 on volume of 11K contracts. S&P 500 recently down 1.58%.
Nokia (NOK) June option implied volatility of 49 is above a level of 34 from May 31 and above its six-month average of 42, suggesting larger price movement after several investment houses downgraded the stock.
Apple (AAPL) Steve Jobs and a team of executives are scheduled to give a keynote address on Monday, June 6th at 10:00 a.m at its World Wide Developers Conference 2011. June and July call option implied volatility of 21 is below its 26-week average of 32, suggesting decreasing price movement.
Index volume Mover’s:
CBOE S&P 100 Index-OEX is recently down 1.5% to 588.32 on active June 575 weekly put volume of 3K contracts and June 585 puts on 858 contracts.