03/17 12:11 U.S. OPTIONS/U.S. Filter calls active, vols jump
CHICAGO, March 17 (Reuters) - Calls on United States Filter Corp.
<USF.N> drew strong interest on Wednesday morning, driving implied
volatility higher, traders said.
"There's something going on there. This is a big jump in vol," said Paul Foster, investment strategist and editor of 1010WallStreet.com.
Implied volatility, a key factor in determining options prices, spiked up to 76 percent by midmorning, up from its average of around 49 percent during the past month, he noted. Trading volume also was well above its average of around 430 contracts. By 1100 CST/1700 GMT, more than 3,800 calls changed hands versus 256 puts on the Chicago Board Options Exchange.
Most of the day's volume was in the soon to expire March 25 calls, where more than 1,200 contracts changed hands between 2-11/16 to 3/4.
Traders said it appeared that the position was rolled out into the April 25 calls, which registered volume of more than 1,000 contracts at prices ranging between 4 and 2.
Stock in U.S. Filter, which makes water treatment and filtration systems, was up 3-1/4 to 28-1/4 on heavy volume of 1.9 million shares. It was among the most actively traded on the New York Stock Exchange. ((Debra Sherman, Chicago Derivatives Desk 312-408-8750,
chicago.derivatives.newsroom@reuters.com))
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