RIO above $73

by Raymond Chan 04 September 2011

Rio closed at $72.05 on 2 Sep.

This looks like a follow on from the failure to stay above $73. The key day was last Thursday when RIO touched a high of $73.81 and reversed down to close at $73.08.

RIO’s Options Actions

On the call side, volume is like the week before. Removing the anomaly of a crossing of 35,000 contracts on Sep11 LEPO on Wednesday last week, number of call options traded were at an average of 12,000 daily contracts. The volume on put, on the other hand, has dropped off to just 9000, this is a drop from 20,000 last week and a more average of about 15,000 daily under normal trading conditions.

Volume is showing traders were not aggressively going short on RIO.

RIO’s Implied Volatility

RIO’s Implied Volatility stood out with a sharp fall. Its  30, 60 and 90 days options, ie next three months are displaying low volatility. Especially with the 30 day’s, its Implied is sitting at about 26 versus the historical’s of 46 .

This is reflecting the smaller range the stock has been moving in the last 2 weeks and the expectation of it continuing in a range in the short-term. 

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