ES weekly option volatility

Discussion in 'Options' started by heech, Aug 30, 2010.

  1. heech


    Hi there,

    If there's another active thread with discussion on the ES weekly options... don't bash me over the head, just give me a link, thanks. :)

    I'm looking at the implied vol in the ES weekly options, just using IB's OptionTrader. First thing I'm noticing is that the weekly options have pretty obvious IV skew from week to week.

    For the ATM strike:

    Sep 03 expiration shows IV of 29%.
    Sep 10 expiration shows IV of 24%.
    Sep 17 expiration shows IV of 23%.

    What do people think... is the market really pricing vola higher for the expiring week? Just looking at this forum, that seems possible, as there are numerous retail traders speculating by buying the expiring weeklies.

    Or is the higher IV just due to how IB is calculating days-until-expiration... ie, if we fed black-scholes with # trading days (ignoring weekends), Sep 10/17th would also have higher IV?