It has been a fun few days working with my option mentoring students on the volatility complex wehave seen over the last few weeks. While I normally am pretty neutral, yesterday I predicted a decent vol selloff. I was thinking the VIX was going to get slapped around a little harder than most traders probably realize. On a strike to strike basis, IV was actually pretty flat yesterday; today on the other hand, IV got smoked.
Take a look at the ATM Options in SPY:
Notice the IV of the 129 puts was flat yesterday and took a dive today. For the VIX to be down like this and the market down signifies the big sigh of relief from getting through the Greek vote and the Fed meeting. The only hurdle left is the Greek austerity measures.
Right now I am not seeing a lot of trades that look very good . Calendars seem somewhat interesting in a few products, and condors may have a little bit of edge left in them. There is a shot butterfly trades could work over the next couple of days, but they are not particularly cheap. Traders putting these on are not getting a great price, but they are getting a market that could sit for a few days.
As I stated yesterday, I think the end of this premium sell off comes by Friday, MAYBE mid-next week. For those interested in fun volatility to watch keep an eye on EK, the trading is super heavy right now, and IV is all over the place. That stock is setting up for some very fun trading.
I will post a replay of tonight's webinar on the blog tonight. For those that missed the first butterfly webinar you can catch the replay here. You can also see April's Directional Class and March's Calendar Course.
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graphs from LiveVolPro
