Blogging Options: CBOE Afternoon Update

Volatility as an asset class

Solar stock option implied volatility is elevated for shares trending towards historic lows.

SunPower (SPWRA) overall option implied volatility of 80 is above its 26-week average of 44.
JA Solar (JASO) overall option implied volatility of 90 is above its 26-week average of 83.

Yingli Green Energy (YGE) overall option implied volatility of 74 is below its 26-week average of 81.
 
First Solar (FSLR) overall option implied volatility of 74 is above its 26-week average of 65.

Suntech (STP) overall option implied volatility of 80 is near its 26-week average of 84.

Trina Solar (TSL) overall option implied volatility of 75 is below its 26-week average of 88.

LDK Solar (LDK) overall option implied volatility of 59 is below its 26-week average of 69.

Canadian Solar (CSIQ) overall option implied volatility of 77 is near its 26-week average of 75.
 

CBOE Volatility Index (VIX) is up 6.7% as stocks are trading near their lows of the day on profit taking and position adjustments on end of year window dressing.

DJIA, SPX & NASDAQ off 1% on very light volume. What looked like a good Italian auction this morning is not passing the smell test this afternoon. The Euro has dropped to a 10-year low versus the Yen, and below 129.40 vs the USD. Markets now awaiting the 10-year Italian auction tomorrow. The US 10-year bond yield at 1.91%. Metals and oil drive CRB lower by ~1%.

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