Late week rebound didn't slow put buying
Bloomberg writes about how options traders in China have built a large premium into bearish Chinese ETFs compared to bullish ones.
"Puts that pay out on a 10 percent drop in the China 50 ETF cost 7 points more on Friday than calls betting on a 10 percent gain, according to implied volatility data on one-month contracts. As recently as Aug. 24, the bullish contracts were more expensive. For the U.S.-listed Deutsche X-trackers Harvest CSI 300 China A-Shares ETF, the skew reached a record 38 points on Aug. 27 and closed the week at 28 points," Bloomberg reports.
Along the same lines, much is being made about the lack of any significant retracement in longer-term VIX contracts in the US. They measure implied volatility in S&P 500 options and are used for many derivatives, including the VXX and XIV (inverted) ETFs.
The VXX sold off late on Friday but was trading near the weekly highs until the final few minutes of trading.
