Bears Ease in Options as Put Premium Falls to 20-Month Low
This article is for subscribers only.
The biggest plunge in stocks in more than two years is prompting U.S. options traders to pay the lowest prices for bearish contracts compared with bullish ones since December 2009.
The premium investors paid for three-month puts to sell the Standard & Poor’s 500 Index versus call options to buy dropped to 50 percent yesterday from 84 percent on July 19, a period when as much as $2.5 trillion was erased from the value of global equities. The S&P 500 has rallied 6.3 percent on average in the month after the gap narrowed more than 10 percent, according to data compiled by Bloomberg since 2005.