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Volatility Chart Du Jour, FNM

Posted on July 15, 2008

OK, this is normalized 180 day volatility in FNM, but only going back the past 2 month's in order to best visually depict what has gone on here in the past week.In other words, this is the implied volatility of what is now pretty much a Jan. option and it has basically doubled in about a week.We have seen plenty of extraordinary volatility spikes over the course of time. But not sure I have ever seen one where longer-dated options exploded this much and this quickly.Essentially, the options pretty much have priced in worthless equity. Or at least hedged against worthless equity....

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options , volatility