Friday’s sharp price rally brought out option traders in force…274,864 options contracts traded and probably most surprising to note is that the put/call volumes were almost equal, 134,161 calls to 140,703 puts… The most active calls were in May: the 40c traded 17,712 times; 41c, 12,162; 42, 8,157; For puts, the May 35p traded 18,371 times, the 3250p, 9,790x… Implied volatility remained around unchanged for the June at the money option at 43.6%… Here is the long term chart:
Note that we have moved from a record low volatility environment in 2Q2014 to the third highest spike in vol of all time earlier this year (since options have traded on the NYMEX) (Gulf War I was the highest)…. If trading were a McDonald’s apple pie, we would definitely need to add the warning, “Caution: Filling is Hot”….
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