trader Adam Warneron：bidu options price in the mid 30′s while th

Volatility Charts Du Jour: BIDU Posted by Adam Warneron December 15th, 2010 We mentioned yesterday that decreased correlation has lead the way for this VIX decline. I don’t want to imply underlying stocks themselves are actually moving all over the place though. Take this BIDU as somewhat of a proxy for some momo names. Up above we 10 day Historical Volatility over the past 3 months, and lower we have 30 day IV and 20 day HV. As you can see, the stock has just frozen in volatility terms. In real terms too as its meandered within a relatively low 8 point range for nearly a month now. So surprise surprise, options have hit 3 month lows in volatility terms. And could decline further as they price in the mid 30′s while the stock is moving in the low 20′s. That being said, I wouldn’t go short strangles here, this won’t last forever. Steven Place recently noted the “coiled spring” look here, and I’d agree. The issue is one of timing. Like a stock making a trend move, it tends to go longer in time and further in price than you think. This BIDU snooze has already gone longer than I would have thought.