Thursday, April 17, 2008

Citigroup and Implied Volatility

Consider for a moment that much beleaguered Citigroup (C) is going to report earnings tomorrow morning on options expiration day.

Shouldn’t implied volatility tell us something about how anxious investors should be? Well, that is indeed the case, but the story is not perhaps what one might expect. If implied volatility is to believed, anxiety about Citigroup’s plight peaked about a month ago (when the stock market bottomed) and has been declining ever since. At current levels, Citigroup’s implied volatility is at the lowest level it has been in the past six weeks.

I have included Citigroup’s three month implied volatility chart below, as it is too interesting to let this one go and should make nice fodder for the archives.


Henry Bee said...

very nice observation Bill. I'm wondering where you can get the chart?

Bill Luby said...

Hi Henry,

The chart is from the ISE. You can find the ISE's quotes/volatilty charts here

Anonymous said...

If some one wants expert view on the topic of blogging
and site-building afterward i recommend him/her to pay a quick visit
this blog, Keep up the fastidious work.

Feel free to visit my site: bmi chart for men

DISCLAIMER: "VIX®" is a trademark of Chicago Board Options Exchange, Incorporated. Chicago Board Options Exchange, Incorporated is not affiliated with this website or this website's owner's or operators. CBOE assumes no responsibility for the accuracy or completeness or any other aspect of any content posted on this website by its operator or any third party. All content on this site is provided for informational and entertainment purposes only and is not intended as advice to buy or sell any securities. Stocks are difficult to trade; options are even harder. When it comes to VIX derivatives, don't fall into the trap of thinking that just because you can ride a horse, you can ride an alligator. Please do your own homework and accept full responsibility for any investment decisions you make. No content on this site can be used for commercial purposes without the prior written permission of the author. Copyright © 2007-2023 Bill Luby. All rights reserved.
Web Analytics