CHICAGO--(BUSINESS WIRE)--CBOE Livevol recently released in their analytics and trading platforms four new live options market scans designed in collaboration with Option Pit. The market scans use a combination of realized volatility, implied volatility and current price performance to help identify real-time actionable trading opportunities.
We had another day of near all-time highs with banks again leading the charge higher. I think the IV is getting too cheap but that will be a story for the next blog. I think the interesting story is coming out of Turkey. Is it the real story or the non-story that is taking shape on the coup attempt for a NATO member? The ETF that tracks the Turkish (TUR) market was down around 6% today.
It seems since the August Flash Crash this is the cheapest volatility has gotten since before that time. When I look at a vol chart it seems there is this year and last year. When I look at BAC it is no exception. There was last year’s IV and this year’s IV and now we have very low IV going into earnings. I read this as the market expects little out of this earnings cycle. Except someone forgot to tell the equity markets as they have raced to new highs.
In the last two days this blog has had two trade ideas: S&P vol is too cheap (even cheaper now) and Oil vol is too expensive (which it is). Moving into fixed income, one can see that the dog wagging the tail of S&P 500 movement is bonds. Take a look at realized vol in the bonds and how much bond IV has increased (this is TLT). Bond vol has slowly rallied, but is still too cheap, We like buying TLT premium and/or TLT calendar spreads.
When I look at a day where the S&P moved about .75% and has moved more than 1% in a lot of recent days, then see 60 HV higher than 30 day IV I start to think one thing: vol is too cheap. Think about it, one could have bought an ATM straddle at just about any day over the last few weeks and hit a complete homerun. Take a look at movement realtive to vol in the last few weeks. Its not like movement has backed off: