Article / 28 June 2012 at 8:36 GMT

Equity index options update week 26

Head of Commodity Strategy / Saxo Bank
Denmark

Volatility has generally been moving higher over the last week as European equity markets nervously await the EU Summit which commences today. Not surprisingly the main mover among the four equity indices we track in this report is the FTSE MIB with volatility trading roughly three percent higher across the curve from a week ago. Interestingly enough however the four most traded strikes over the last week are all calls ranging from 14,000 to 15,000 which indicate that traders looking for a positive outcome or a bounce from current levels have used options to express that view.

Among the other three indices the most traded strikes during the past week were all on the put side with especially the DAX Jul12 PUT strike 6,000 standing out, having traded more than 60,000 contracts.

For more details see our weekly update on DAX, CAC, AEX and FTSEMIB index options.

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062812_Index Options Update.pdf

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