Hey, there's been no missiles flying over South Korea for 3 days, and they ended their intel-sharing pact with Japan, let's sell some vol!

null

The chart below shows the iShares MSCI South Korea ETF (EWY) contango recovering, with the front month September expiration implied volatility going down vs the longer dated expirations.

The implied volatility is also down with IV 30-day at 21.6% -0.4%. It looks like a September $52 strike call $50 strike put strangle was sold about 7000 times.

null
  • iShares MSCI South Korea ETF (EWY) a volume ratio at 4.6x
  • 15200 options traded vs normal volume 3300.
  • Calls to puts is 7699 to 7453 for a call-put ratio of 1
  • EWY is trading $51.92 up 0.27% today.
  • iShares MSCI South Korea ETF (EWY) third highest volume ratio at 4.6x
  • 15200 options traded vs normal volume 3300. Calls to puts is 7699 to 7453 for a call-put ratio of 1
  • EWY is trading $51.92 up 0.27% today. The week change is -1.61% and month is -7.99%.
  • 7502 #1 volume $52 strike call delta 0.51 Sep-20 DTE 25 OI 1587 bid-ask $1.14 - 1.22 IV 22.2% (prior $1.12 - 1.19 IV 22.7%).
  • 7010 #2 volume $50 strike put delta -0.28 Sep-20 DTE 25 OI 692 bid-ask $0.56 - 0.61 IV 26% (prior $0.63 - 0.69 IV 26.2%).
  • IV 30-day 21.6% -0.4%. Put-call strike slope 5.7% -0.1%.

Get the unusual options report and earnings reports here.

related posts

Reuters Article On Fear Measures: Volatility, Skew and Bid-Ask Spreads with Matt Amberson
Mar
27
Markets, VIX, implied volatility, slope

Reuters Article On Fear Measures: Volatility, Skew and Bid-Ask Spreads with Matt Amberson

Read the article here: ...

Read Post
Extreme Fear. Is This The Bottom? Charting The Virus With Options Data
Mar
15
Options Signals, data api, implied volatility, components, ETF

Extreme Fear. Is This The Bottom? Charting The Virus With Options Data

Update for March 18th, 2020. Previously, the SPY volatility had not surpassed 2008 levels, now...

Read Post

We're here, if you need us.

Still curious how we can help you?




LET'S CHAT