As we go into the 3 day weekend the traders are putting the juice back in the options. As I said in our Vol Report this morning, VIX will stay bid to the close. After all no one really knows how the market will react to whatever Greece decides about Greece. It is a binary event similar to what goes on around earnings. The best clue to the prospective move is around the ATM straddle.
It happened. It finally happened. Greece defaults on debt to the IMF and gets the title of most beautiful but deadbeat country. What did stocks do? They rallied after it appeared Greece’s citizens think the EU is saner than the current government. Voters will most likely vote yes on referendum to stay in the Euro Zone on Sunday.
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As I write this Greece defaults on debt to the IMF and sends its citizens into some uncharted waters. The SPY is up .25 from the close so it is a safe bet for now that US stocks don’t care anymore. The game is ending and is about to play out with a referendum this weekend. It would not surprise me to see stocks start a rally again and end up at new highs after the labor reports this week. Another surprise was the jump in AAPL IV on a down volatility day in the market.
Today, the VIX had about its biggest move in the last few years jumping about 5 bucks. In percentage terms, its the 8th largest, although, when its comgin from 13 instead of 20-25, its not as big of a deal. What I found profoundly more interesting is what happened in VVIX nad VIX futures. In the futures, July is now flat with August, if July gets bid above August, that is always a sign that something bad could happen in the overal market. VVIX, which my friend Jared and BCG has done some excellent research on, absolutely exploded today.
Eli Lilly & Co. had a positive rulling today in Great Britain involving some drug that is probably medically important and may help one of us someday. However, what I find interesting, is that an event that should have dropped vol did not have the result. Take a look at the stock and the vol:
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Stocks had a hard time today jumping up to all-time highs. The SPX started the day down and never looked back as the better than expected GDP revisions caused some rate concern. Greece’s PM also started back on the crazy train so that unsettled European markets after they were anxious to get to higher levels. FB is not feeling that right now.
I have to admit a was a bit stuned when I looked at the implied volatility of the RSX, the Russian ETF. Its at just about the lowest level of the year, This as the president authorized military equipment of 6 countries to stave off Putin and all out war wages in Ukraine.
Whille the VIX certainly had a rough day selling off to 12.60. I think the more interesting story is the Russell 2000. Today, the RVX touched a 52 weekly low and is near 2 year low. One can see how cheap its gotten, trading below 15 for only the 2nd time this year.