2014年 11月 23日 星期日 13:50
UPDATE 3-Volatility index below 30 for 1st time since Sept
* Decline in anxiety a sign of rising confidence
* Large number of VIX May calls likely to expire worthless
(Adds closing prices)
By Doris Frankel
CHICAGO, May 19 (Reuters) - A key measure of market
volatility on Tuesday dropped to the lowest levels since the
collapse of Lehman Brothers in September, suggesting investors
are much less worried about sharp swings in equity prices.
The Chicago Board Options Exchange Volatility index ,
known as the market's "fear gauge," fell below the key 30 level
for the first time in eight months.
The decline in the anxiety that dominated trading through
the latter half of 2008 into early 2009 suggested investors no
longer see the need to guard as heavily against the potential
for unexpected gyrations in shares.
The VIX fell 4.76 percent to 28.80, its lowest close since
Sept. 12, 2008.
"We have seen a major correction in volatility following
the 39 percent rise in the S&P index from the March lows, and
there is rising confidence that we will not test those lows
again, as illustrated by the decline in the VIX," said Scott
Fullman, director of derivative investment strategy at New
York-based broker-dealer WJB Capital Group.
RETURN TO PRE-LEHMAN LEVELS
The VIX, calculated from Standard & Poor's 500 index
option prices, tracks the market's expectation of future
volatility over the next 30-day period and often moves
inversely to the S&P benchmark.
The index has closed above 30 every day since Sept. 12,
2008, the Friday before the fateful weekend when Lehman
Brothers Holdings Inc LEHMQ.PK imploded and the government
intervened to bail out insurer American International Group Inc
(AIG.N: ).
It hit a peak of 89.53 on Oct. 24, 2008, and a closing high
of 80.06 on Oct. 27, as investors reacted to frozen credit
markets by buying protection against broad-market declines.
The index started to retreat after testing highs in the 80
level in November. During the first quarter of 2009, the VIX
was largely in a 38-to-53 range and began to set a series of
lows after April 9.
BUTTERFLY EFFECT
Many in the options market did not expect such a dramatic
drop. More than 650,000 out-of-the-money VIX May call options,
nearly half the open interest in the product, are likely to
expire worthless. May VIX options and futures expire Tuesday
with settlement Wednesday morning.
Most of the positions were purchased in large sizes in
mid-March on the assumption that the increased volatility would
persist. They were constructed as 35-45-55 May call butterfly
spreads, which involves buying call options at strikes of 35
and 55 and selling calls at the 45 strike.
In that particular butterfly spread, an investor expected
the VIX to converge on the 45 level. Such a bet implies
expectations that the market would remain jittery.
"The rationale behind the butterfly spread trade is that
market volatility would remain high, and that May VIX futures
would settle at or around an index level of 45 at expiration,"
said Andrew Wilkinson, senior market analyst at Interactive
Brokers Group.
For the past several years, 30 was a key marker on the VIX.
Often, when the index would creep above that level, it was a
sign of excessive fear, and the stock market responded with a
rally on several occasions.
"After a very volatile period in the final months of 2008
and early 2009, the broader economic outlook has stabilized,
which has resulted in lower levels of volatility in the equity
market," said Frederic Ruffy, options strategist at Web
information .
(Reporting by Doris Frankel, additional reporting by David
Gaffen in New Y editing by Leslie Adler)
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