US OPTIONS/Equity and index vols soar as OEX skids
Reuters Story - August 31, 1998 16:38
%US %STX %DRV %.N/OPT .VIX DELL KO %MRG CSCO V%REUTER P%RTR
CHICAGO, Aug 31 (Reuters) - Implied volatility on stock and index options surged across the board on Monday as the market plummeted for a fourth consecutive session.
In late trading, the S&P 100 was down 31.80 points to 475.87 as the Chicago Board Options Exchange's Market Volatility Index , a barometer of fear in the market, surged 9.71 points to 50.66. The VIX measures implied volatility of several strikes on OEX options.
"Puts are your best friend in a down market and people are willing to pay extraordinary high prices for them," said Paul Foster, editor of 1010WallStreet.com.
Scott Fullman, chief options strategist with Swiss American Securities, added, "It's the same story with all of these stocks. Vols are up so much because (stock prices) are falling so fast.
"There's a tremendous amount of speculation out there. There are a lot of people who are looking for a very big and quick turnaround," he said.
Such was the case with calls on Dell Computer Corp. , traders said. The September 120 and 130 calls were by far the most actively traded contracts of the day, registering volume of 12,282 and 10,039 contracts, respectively.
"People are taking a shot that (Dell stock) will rebound back to 120 or 130," Foster said.
Dell stock plummeted 18-3/4 to 100. It topped Nasdaq's most active list, registering volume of 48.5 million shares.
The September 115, 110, 140 and 100 calls, as well as the September 100, 110 and 105 puts drew heavy interest on the American Stock Exchange.
On the CBOE, the September 80 and November 65 puts on Coca-Cola Co. were most active, with volume of 6,092 and 5,493, respectively. Implied volatility surged.
The September 100 calls on Cisco Systems Inc. were the most actively traded on the call side on the CBOE as options implied volatility surged, with the underlying stock crumbling 12-13/16 to 81-7/8.
"It's like this everywhere...vols are up. There's speculation and on the other side of it, people are panicking to buy protection," Foster added.
Separately, the CBOE said it experienced unspecified systems problems from 1455 CDT/1955 GMT to 1508 CDT/2008 GMT, just before equity and index options shut at 1502 CDT/2002 GMT and 1515 CDT/2015 GMT, respectively |
