Volatility as an asset class:
Oil stocks, ETF and index option implied volatility movement has increased as Tropical Storm Isaac bears down on the Gulf Coast.
CBOE Crude Volatility Index (OVX) closed at 33.42, above its 10-day moving average of 31.33, below its 50-day MA of 33.94, above its 100-day MA of 32.54 and below its 200-day MA of 34.09 into Tropical Storm Isaac. http://www.cboe.com/ovx
Energy Select Sector SPDR (VXXLE) closed at 21.40, above its 10-day moving average of 20.21, below its 50-day MA of 23.31, below its 100-day MA of 25.44 and its 200-day MA of 26.70.
United States Oil Fund (USO) overall option implied volatility of 31 is near its 26-week average of 30 as fund trades above 50-dy moving average of 33.29.
CBOE Volatility Index (VIX) closed at 16.35, above its 10-day moving average of 14.88.
Puts with increasing volume at CBOE;
SPY 9/22/2012 141 12K contracts
IWM 9/22/2012 74 10K
TC 9/22/2012 4 10K
BBY 1/19/2013 15 9K 489
QQQ 8/31/2012 68 8K
IWM 9/22/2012 83 8K
F 12/22/2012 9 8K
U.S. stocks are mixed to lower as Japan lowered its economic outlook. Much commentary this morning on Spain and it’s need for additional monetary aid needed. CAC off 1%, Spain market down by 1.25%, Isaac watch, not much to see for next 36 hours.