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.
The VIX was of .40 points today many option traders may think this was a relatively insignificant move. The option 911 reader knows better though.
I have written over and over again how the weekend decay can screw with implied volatitlities. I just want to give all of my option traders a heads up.
Prepare for another fun day of mail, coming tomorrow!!
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Option traders, you may not know this, but in my spare time, running Option Pit, writing a blog, writing a magazine, and being a family man, the manager and I were on the phone talking while he attemp