I know I was going to get into some long gamma spreads tonight, but I got really caught up with the new born. Plus an old friend stopped by for dinner.
The SPX is right back to rallying after taking a day off to remind the public it can drop a standard deviation in a day if it feels like it.
Yesterday was a little bit odd; the market was down 14 points or 1.2%. Implied volatility was up about 6.5% based on the 1.31 increase in the VIX.
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Implied volatilities continue to get hammered at the market sits and sits and sits.
As I reported on Friday, I closed out the SPX/NDX volatility swap as the VIX fell well below the VXN. The VIX closed at 20.02 the VXN closed at 20.81.
Wait.........YES I AM!!!!!! I certainly could have been more dead on last night, but not by much. I underestimated how quickly would recover from last night’s sell off.
Today as the market stood still, the VIX, the VXN and the RVX all essentially did the same.