Option update: Pre-open Stock Option Index volatility measurements

Posted Sep 11th 2007 8:50AM by Paul Foster
Filed under: Before the Bell, Options

Volatility Index S&P 500 Options-VIX at 27.37; 10-day moving average is 24.62

Volatility Index NASDAQ 100-VXN at 29.94; 10-day moving average is 25.95

NASDAQ 100 (NASDAQ: QQQQ) overall option Implied Volatility at 26; 26-week average is 21

Semiconductor Holders Trust (AMEX: SMH) option implied Volatility 27; 26-week average is 23

IShares Russell 2000 (NYSE: IWM) option implied volatility at 30, 26-week average is 22

Amex Financial Select Sector (AMEX: XLF) implied volatility at 30; 26-week average is 22

ISE Sentiment Index-ISEE 90 new Calls purchased for every new Put on 9/10/07. ISEE 10-day moving average is 122. ISEE 50-day moving average is 123.

September front month Equity Options expire; 9/21/07

Daily options Update is provided by Stock Specialist Paul Foster of theflyonthewall.com.

Tags: Amex Financial Select Sector, AmexFinancialSelectSector, Equity Options expire, EquityOptionsExpire, IShares Russell 2000, IsharesRussell2000, NASDAQ 100, Nasdaq100, Semiconductor Holders Trust, SemiconductorHoldersTrust, Volatility Index NASDAQ 100, VolatilityIndexNasdaq100