Implied vols exploded on Friday with July settling at 57.8 +13 and August at 46.2 +11, these from barchart.com… Volume was heavy with around 405,000 trading and around 255,000 of these puts… Once again the open interest pattern is counter.. Despite many more puts trading, call open interest increased by 36,000 contracts while put volume by only 11,000… The option market seems like it is trading slightly counter to the price move… We won’t read too much into this, but I do find it interesting… Perhaps equity analysts would look at this value trading (not momentum)…. How have value investments turned out? Here is barchart.com (the lower panel is implied vol):
And here is the CME’s Most Active Strike tool:
Leave a Reply