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JPM Vol is Too Cheap

Today in the Pit Report we were scrolling through IV levels that were popping up as cheap and one of the financials hit for the 1st time in a long time.  The cheapest financial, by far, is JPM.  While XLF and some of the other names that have already had earings have seen their vols back off, none has taken the dramatic drop in IV that hit JPM the last couple of days

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Gamma for a cup of coffee in Oil Land

Somewhere along the line stocks stopped worrying about China, oil prices and mass currency devaluations.  My sense is that stocks like certainty and for now neg interest rates, while crazy, are at least certain in several G7 countries.  Let put that aside as stock rocked to the sandbagging JPM as the financials showed up today.  The big daddy lately has been oil and with the Doha OPEC talks this weekend my thoughts turn to gamma.

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VIX Got Crushed VIX IV Did Not

The VIX got blasted today,  so did the front month of the VIX futures term structure and SPX premiums.  VIX premiums on the other hand...not so much.  There continued to be hudge demand for both VIX puts and VIX calls in May, June, and July.  In fact, while VIX has been choppy, VIX option vol has been pretty firm and rallying.  This is likely due to earning season, and the issues in Japan.  But, none this less this should be noted as it seems the smart money is less than convinced by today's rally.

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The Never Ending Land of Negative Rates and Monetary Flimminy Flammery

Stocks got a nasty jolt this morning when the ECB took a step into the unknown with a continued push for negative interest rates in the EU.  6 years ago when things needed a jolt I can see the Monetary Priming have a material affect that was so lacking in the 1930’s.  Now that we are in round 6 or 7 the diminishing returns are in.  Volatility got a massive bid up.

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