Why Won't the VIX Fall?

As the SPX continues its rally though 1630 and toward 1650, may a novice is asking why the VIX isn’t touching all-time lows.  The answer is simple: volatility

When the VIX got to its recent low realized volatility was in the toilet.  We had been through about 2 straight months of nothingness.  10 Day HV was near 5 and both 20 and 30 day HV were near 10%.  Looking at HV now we can see a clear difference.  10 day HV is closer to 10% and 20 and 30 day are actually trading at a premium to VIX.

Blog Image: 

Bond Vol Getting Smashed

We have the market flirting with all-time highs again today and investors should be beginning to wonder if the financial crisis is over.  Asia looks ok, India ok, Latin America ok and the US recovering but in a pokey big government way.  Europe is still a basket case but that is mostly due to the reluctance of a good chunk of the population to work for a living and for the governments to stop paying for it.  At least short term the Euro should stay intact while the drudgery of budget discipline starts to happen.  While I won’t declare the financial crisis d

Blog Image: 

How low can the volatility go?

Somewhere between the ADP report on Wednesday and today’s NFP report the nation found a bunch of jobs.  The broader markets also found themselves in record territory with NASDAQ making at least multiyear highs.  What I find heartening (for bulls like me) is that the Treasuries are finally weakening with a near 3 point drop today.  If the rally has to continue folks need to stop running to no-yield bonds.  With better jobs news the need for the Fed to buy more is a much tougher case to make.  The thing is we have .75% gaps in the SPX still and while the realized volatility has tailed a bit w

Blog Image: 

VIX Term Structure Finally Normal

The last two weeks have been interesting for VIX and VIX futures watchers, for several reasons.  In relation to the VIX, the realized volatility has been above implied for about 2 weeks and appears that it might stay there for a while. 


Livevol (R)

Blog Image: 

Classic Example of An Earnings Vol Crush: FB Edition

One of the most followed stocks on the NASDAQ, FB, had earnings last night.  There was HUGE volume yesterday ahead of earnings and May3 weekly volatility got to 150% ATM.  FB actually made a decent move by the end of the day today, moving up to near 29.00 a share.  But, those who bought upside calls are probably NOT happy.  Take a look at a shot of the FB May3 29 calls from yesterday.


Blog Image: 

So how is the VIX going up?

With the underwhelming ADP report the private sector is just limping along but improving slightly.  At some point here now that stocks are near all-time highs the residual of the financial crisis ending can only propel things for so long.  I mean that as earnings have climbed back up over the last 4 years stocks have had just fits and starts depending on larger macro issue (US debt rating, Euro, US Fiscal Cliff, Europe, Europe, etc) .  2012 was nice but 2011 was a wash as investors worried about the Euro.  Now  lower interest rates are powering stocks globa

Blog Image: 

Trading TWX Ahead of Earnings

Today on Bloomberg TV I discussed an earnings trading in Time Warner Entertainment (TWX).  While I am not an expert on cable entertainment, I am an expert on paper flow.  You can watch the video here:


Blog Image: 

The Soros Put on JCP

Kind of a bubbly day today as the market stretched out a little bit and put the rally cap on.  Several factors, mostly big picture stuff like the consumer and Italy, help buoy spirits today.  Of the market in general we have been getting to these highs on higher realized volatility than in the past.  10 Day HV from LiveVol© is clocking in at 18.62 for the SPY and after today’s upswing that number will only wilt slightly.  I spend a lot of time watching realized volatility because that tells me the “how” of movement.  Look at JCP lately.

Blog Image: 

What no weekend effect?

Looking at the rally Thursday on what I would say is so-so news I am reminded of the fact that over the last year most of the melting has been to the upside.   The market has tended to take off like a shot with Fed easing and the BOJ declaring war on interest rates.  The US market with a decent dividend yield is starting to look attractive all of a sudden.  While I am still mild bullish it pays to take a look at how the market is viewing volatility in the near term.

Blog Image: 


Subscribe to RSS - blogs