Volatility as an asset class
Steel Dynamics (STLD) is down 51c to $10.51 in the premarket after the company sees Q2 EPS 15c-20c, consensus 24c. Overall option implied volatility of 42 is near its 26-week.
SPDR Gold Trust (GLD) is off 81c to $157.03, as Greek election removes some risk temporarily. Gold trades mixed at $1,621 on the G-20 meeting and into the FOMC meeting on Tuesday and Wednesday. Overall option implied volatility of 23 is above its 26-week average of 21.
National Bank of Greece (NBG) is up 9c to $1.91 in the premarket following the Greek election. Overall option implied volatility of 146 is above its 26-week average of 110.
Calls with increasing volume at CBOE.
SPY 6/16/2012 134 76K contracts
AMAT 7/21/2012 12 64K
IWM 6/16/2012 77 24K
QQQ 6/16/2012 63 19K
FCX 6/16/2012 34 15K
ABV 7/21/2012 39.99 13K
JPM 6/16/2012 35 12K
CBOE Volatility Index-VIX closed at 21.11, 10-day moving average is 22.86, 50-day moving average is 20.51.
U.S. equities were up big last night on Greek election, but have turned mixed to lower. Investors look past Greek bailout politics into the Fed meeting Tuesday and Wednesday. Spain 10-year bond moving above 7% to 7.12%, Italy at 6.05%.