Importantly, the trader or traders behind those trades paid up to establish a bearish position on RSX as the ETF’s “30-day at-the-money implied volatility close at 67.2% Monday — in the 99th annual percentile — but its Schaeffer’s Volatility Index (SVI) of 67% rests higher than 88% of similar readings taken in the past year. Simply stated, premium on RSX’s front-month options is relatively expensive at the moment,” according to Schaeffer’s.
Perhaps it was just a mere coincidence, but Monday’s bearish options action in RSX came a day before the ETF fell 3.4% on more than double the average daily volume after Standard & Poor’s placed Russia’s sovereign debt on CreditWatch with negative implications, indicating Russia could lost its already tenuous grasp on its investment-grade credit rating. [Russia Flirts With Junk Credit Rating]
S&P’s move to put Russia on CreditWatch negative reflects the ratings agency’s “view that there is at least a one-in-two likelihood of a negative rating action within 90 days,” according to S&P.
Market Vectors Russia ETF
