Volatility as an asset class
Proshares Ultra Short 20 Year Treasury ETF (TBT) is down $0.11 to $15.70, retreating from over $16 following the FOMC leaving rates unchanged and extending ‘Operation Twist’ through year end 2012. June weekly call option implied volatility is at 38, July and August is at 33; compared to its 26-week average of 34.
S&P 100 Options (OEX) is off 3.67 to 617.27. June weekly call option implied volatility is at 19, July is at 14, August is at 13, September is at 14. www.cboe.com/OEX
Jabil Circuit (JBL) is up $1.24 to $20.65 after releasing sold Q3 results. July and August put option implied volatility is at 38, September is at 40, December is at 44; compared to its 26-week average of 44.
Stocks are mixed to lower as the Fed extended ‘Operation Twist’ through end of 2012, Treasuries are flat after rallying.
CBOE Volatility Index (VIX) down 22c to 18.16 on wide movement intra-day range of 17.49 – 20.05.