Skew Charts Show Higher Implied Volatility for O-T-M Puts on SPX, RUT, EFA and FXB

After the results of the Brexit referendum were announced , the values of several volatility indexes at CBOE shot up, indicating that overall implied volatility had increased for many securities worldwide. A key issue for some cautious investors who want to hedge is – what are the implied volatilities for various out-of-the-money (O-T-M) put options that can be used to hedge my portfolio?  

Below are Livevol skew charts for four key securities – SPX, RUT, EFA, and FXB – that show global implied volatility this morning at various strike prices and maturities. The O-T-M put options generally had much higher implied volatility than the at-the-money or in-the-money put options. CBOE  now offers both Wednesday and Friday expirations on S&P 500 (SPX) options. www.cboe.com/SPX. Also note that the CBOE SKEW Index recently closed at 145.70, one of its highest levels in history. www.cboe.com/SKEW.

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RECORD VIX FUTURES VOLUME

The CBOE Futures Exchange, LLC (CFE®) today announced record volume was set in VIX Futures traded in non-U.S. trading hours with an estimated 235,000 contracts changing hands. Today’s record surpasses the previous single-day record of 140,811 contracts set during the overnight session on August 24, 2015.