Implied Volatility Alert: SPY, KR
10/01/09
SPY puts active on 1.85% sell-off
SPDR S&P 500 (SPY) is recently down 1.85% to $1033.40.
SPY call option volume of 104,496 contracts compares to put volume of 210,717 contracts, according to Track Data. Average daily volume is 1,069,150 contracts, according to IVolatility.
SPY overall option implied volatility is at 24.
KR at-the-money calls active on 22,000 contracts
Kroger (KR) is recently up 9 cents to $20.74.
KR April 20 Calls (KRDD) have traded 48 times on transaction volume of 22,528 contracts, above its open interest of 661 contracts.
KR October option implied volatility is at 27, and April is at 31, versus its 26-week average of 32, according to Track Data, suggesting non-directional price movement.
Posted at 11:45 a.m.
More Implied Volatility Alerts
Researcher Paul Foster has 23 years of professional experience in the capital markets, investments, trading, corporate finance, arbitrage, options, and mergers and acquisitions.
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