Blogging Options: CBOE Mid-day Update

Spain, Germany, France, Italy and United Kingdom volatility elevated, suggesting larger price movement as ETF prices stabilize on low end of range.

iShares MSCI Spain Index ETF (EWP) overall option implied volatility of 47 is above its 26-week average of 29.

iShares MSCI September (EWG) overall option implied volatility of 50 is above its 26-week average of 30 suggesting larger price movement.

iShares France (EWQ) overall option implied volatility of 53 is above its four-week average of 52 suggesting larger price movement.

iShares MSCI Italy Index (EWI) overall option implied volatility of 54 is above its 26-week average of 38 following Standard & Poor’s cutting Italy’s credit rating.

iShares MSCI United Kingdom Index (EWU) overall option implied volatility of 31 is above its 26-week average of 23.