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No decay today

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AAPL pulled every trick in the book with good earnings, a stock split and a buy back.  Toss in a dividend boost too for the long suffering shareholders who paid $700.  That was enough to send AAPL up $40  today.  With good news from AAPL and FB the SPY was up .40!  Not a rousing vote by the rest of the market and it had nothing to do with AAPL.

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AAPL Says Take That Straddle Sellers

This is why we don't sell cheap straddles:  We noted yesterday that AAPL IV was at extremely low levels into its earnings announcment today.  Looking at a two year chart of AAPL 30 day IV one will notice this was the cheapest IV has been over that period of time.

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LivevolX (r) www.livevol.com

The weekly straddle that expires Friday went out at an insanely cheap 22.00 a pop.  For AAPL, where typically one might expect more like 30 and on the low end at LEAST a 5% move, priced in 22.00 is an outlier...as in amazingly cheap.

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Will the AAPL IV ever stop declining?

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There was another nice little rally today on the back of some decent earnings reports.  The tech end of the market has largely shrugged off the GOOG earnings and is looking forward to FB and MSFT.  Note how I did not mention AAPL.

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Volatility is starting to sag

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Two days in a row of small moves is enough to give the most die hard juice buyer indigestion.  The volatility of VXX options is now sub-50, 30 days out.  For VXX, peaking around $46 a few days ago, the vol ETP is sliding toward $40.  A level it has not been able to stay below since January, before the emerging markets crisis.  Do you remember that?

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VIX Normalizes...for now

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 Today the VIX and the VIX curve normalized accross the board.

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www.vixcentral.com

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Gamma sensitive options get pasted for now

It looked real ugly this morning toward noon.  From what I could tell there was enough decent news to push stocks higher pre-open and then the flood gates of selling opened, hitting the momentum stocks particularly hard.  The on again/off again saga of the Russians camping out in the Ukraine is putting the market into a tizzy.  A near term weak market gets downright ugly when the liquidity dries up after countries start shooting at each other.

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Expect a Little Follow Through

Today was a serious test:  was the market going to completely give it away, or was what we saw today the bottom.  In clear order, it seems that, all other things being equal, we hit a bottom on Friday.  Watching the relationship between S&P and VIX intraday,  one could see earlier in the day, even as the SPX was hitting new highs, the VIX was climbing.  We quickly sold off.  

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LivevolX (r) www.livevol.com

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Options Less Than Impressed

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Despite the huge ugly day in the SPX and NDX,  something interesting happened.  Every major index saw net premium selling on the day.  Most notably the SPX.  Take a look at the premium flows:

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livevol (R) www.livevol.com

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As Vol Drops VXN-VIX Spread Holds

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As vol rallied earlier this week, it was noted by a few people that the spread between SPX vol, the VIX and NDX vol, the VXN is at its widest point in years.  One might think that with the NDX calming down and VIX moving back to the sub 14 level that the spread would have tightened significantly...it has not.  Take a look:

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Livevol (r) www.livevol.com

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The Next Internet Craze

Well, maybe not the next internet craze, and no this is not the title of the next Michael Lewis book.  The craze has already come and gone.  I like looking at new products and this KWEB (KraneShares CSI China Internet Trust) is interesting in that it has flown under the radar for a while.  No options trade on it, (hint: CBOE list them!) but the product moves around pretty good.

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