Blogging Options: CBOE Mid-day Update

Volatility as an asset class
 
iShares Trust Russell 2000 Index Fund-IWM July 30 weekly puts are trading at 30 volatility, July 30 standard puts are at 27, above its 26-week average of 25, suggesting traders are expecting more near term movement into Greece’s austerity vote, U.S. debt ceiling discussions and the June employment report on Friday.
 
Financial Select Sector-XLF July and August put option implied volatility is at 27; above its 26-week average of 23, suggesting traders pricing in the expectations for larger movement.

Nike-NKE July put option implied volatility is at 38, August is at 31, October is at 29; above its 26-week average of 25; suggesting larger price movement into the release of Q4 resuls after the market close today.

Microsoft-MSFT July put option implied volatility is at 21, August is at 25; compared to its 26-week average of 24, suggesting traders are comfortable with MSFT shares in the near term as they trade up to a seven-week high.