U.S. OPTIONS/VIX recedes ahead of options expiry
Reuters Story - September 18, 1998 13:29
%US %STX %DRV %.N/OPT .OEX .VIX %MRG FP CQ LMT ASND LU CS LSI V%REUTER P%RTR
CHICAGO, Sept 18 (Reuters) - Implied volatility on S&P 100 options receded in the early going on Friday after a choppy morning session and ahead of this afternoon's expiration of index and equity options.
Yet traders said they were not expecting expiration to have a big impact on the market at the close.
"Over 15 triple-witching expiration days, 10 have closed positive and five have closed lower," said Jerry Hegarty, chief analyst with Cape Market Research and editor of Hegarty's Options Navigator.
"The most significant result has been the overall total lack of volatility," he said. "Expect that lethargic trend to continue today."
By 1018 CDT/1518 GMT, the OEX was down 0.41 point to 493.94.
The Market Volatility Index , which measures implied volatility of several strikes on OEX options, eased 1.82 points to 40.51.
"Volatility is high going into expiration.... I think it might shrink a little bit next week," said Scott Fullman, chief options strategist with Swiss American Securities.
A handful of takeover rumors in the market drove activity in some individual stock options.
Among them were FirstPlus Financial Group , whose options volatility jumped to about 130 percent in brisk trading on talk that a deal was imminent and would likely be priced around $30 per share.
The Dallas-based financial institution said last month it had begun discussions with potential acquirers and had retained advisers to assist with evaluating offers.
A spokesman for FirstPlus declined to comment further.
The stock was up 1-3/16 to 21-1/2.
Implied volatility on options on Comsat Corp. , a rumored target of Lockheed Martin Corp. , also remained high ahead of the company's board of directors meeting this evening.
Volatility on options on Ascend Communications , a rumored target of Lucent Technologies , also remained buoyant as did volatility on options on Cabletron Systems , also the subject of bid speculation.
Volatility on LSI Logic options held firm as professionals continued to scoop up calls, although traders said they were not aware of news that was fueling activity.
"LSI could be an attractive takeover target, but I've heard that for about a year now," a market maker said |
