Tuesday, March 09, 2010

Option Watchlist

With the VIX in the teens for the first time in 6 months, I am looking at options.

Here are the implied volatilities of the options on my watchlist:

AGO Jan11 12.5 put = 64.
15 put = 60.6
ANF Jan11 35 put = 41
DIG Sept10 27 put = 52.5
IAG Jan11 20 call = 50
IAG Jan12 25 call = 49.6
KBH Jan11 10 put = 55.1
SPY Dec10 80 put = 29.9
SPY Dec10 90 put = 27
SPY Dec12 60 put = 30.2
SPY Dec12 85 put = 24.8
USO Jan12 30 put = 34.2

Now I'm going to wait and see if they drop down.

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