The VIX was up about 3 points today. The VXX was up over 1.5 points. How much was IV up in ATM SPX today?
Yesterday:
1090 strike: 22.00
1120 strike: 19.71
Today
1090 strike: 22.70
1120 strike 20.27
That is right yesterday's and today's ATM IV barely budged, yet the IV indexes were way up. What could be the culprit?
SKEW, yesterday the 10 delta put was trading at about 135% of ATM IV. Today the IV is trading at 143% of ATM volatility. A skew shift like this can really run up both the VIX and the VXX. The VIX was up also up because of the price move, but looking at the VXX I think that clearly points toward skew as the culprit.
If skew shifted UP then what trade makes the most sense? I am looking at October condors as a good trade right here, I am also keeping an eye on the SEP-OCT IV spread. Currently the spread is at about negative 1 point; I would not be shocked if this tightens further in the morning. Especially if the market continues to drop. The market could set up for a decent surgical strike calendar.
Thanks again to all who attended today's webinar with TradeMonster.
