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Yahoo’s Volatility at ‘Breathtaking’ Low Before Earnings Report
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Yahoo! Inc. options traders are pushing implied volatility to its lowest pre-earnings level in two years as investors focus on the possibility that the largest U.S. Internet portal will sell assets or be sold.
The key gauge of options prices for Sunnyvale, California-based Yahoo fell to 33.67 yesterday, the lowest level since May and the least for the day before an earnings release since January 2010, according to data on 30-day contracts compiled by Bloomberg. That compares with a one-year average of 45.42. Yahoo’s implied volatility was 17.03 points above the level for the Technology Select Sector SPDR Fund as of yesterday, 29 percent below the average.