Options Trading and Education Blog

Morning Vol Report 12.12.2017 DIS and FOXA dance, VIX future premo is fat

Posted By Andrew Giovinazzi Tue, 12/12/2017 - 9:18am



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A 9.29 VIX and vol should be cheap everywhere

Posted By Andrew Giovinazzi Mon, 12/11/2017 - 3:49pm

9.29 VIX and it feels like we are putting the holiday in to the SPX IV already.  9 VIX does put me into a bit of a buying mode so I started going through my list of names that should be at lower IVs over the next 90 days.  And low and behold I did not find what I thought I would find.

TWTR IV got cheap again in the near term so I bought some.  I would prefer to go to the Mar cycle but I want it cheaper.  The bigger surprise was a name like INTC.  I thought for sure it would be at the bottom of the range but it is trading at a level closer to where it had been after the election.  INTC rallied into the higher IV last year.  I think it might do it again.

LivevolX for Lightspeed


There is some Bank and Tech IV higher in the mid-range cycles.  We have had a run up AND the jump in IV could be that both sides of a move are in play.  I think IV tends to rally when a big up move or down move gets more evident and that is where the market finds itself.  The rally no one saw coming is not over yet.

The trade

I like the longer term calls in INTC but they are not as cheap as I would want them so need to finance.  An INTC strangle and short vol pair could work.  We will cover this as a subject in Part 4 of VIX made Easy which starts on Thursday.

Disclosure:  Postions in TWTR, INTC, VIX, SPX

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Option Pit Vol Report 12-11-17

Posted By Mark Sebastian Mon, 12/11/2017 - 9:11am

Option Pit Idea of the Week: MAR

Posted By Mark Sebastian Fri, 12/08/2017 - 2:22pm

My next book  Trading Option's for Edge by Mark Sebastian is now available for sale and will be shipped on December 4th.  You can buy the book by clicking 


I like MAR to keep its head of steam:

Trade Idea of the Week: MAR from Mark Sebastian on Vimeo.

Option Pit Vol Report 12-8-17

Posted By Mark Sebastian Fri, 12/08/2017 - 9:13am

Incredible shrunken volatility

Posted By Andrew Giovinazzi Thu, 12/07/2017 - 5:36pm

My best trade idea was early in the week with the SPY/QQQ pair.  After talking with Mark we think the big end of year tech rebalance is over so that idea could have some legs as that sector recovers.  Congress could still provide some fireworks as Dec 15 looms but nothing is really sinking the market for stocks.  Maybe all the volatility is going to Bitcoin (BTC) so that could be a dampener.  After all BTC is worth more than WMT so we got that going.

LivevolX for Lightspeed

Speaking to one of my Pro clients today and we noticed the IV is crazy low for Monday next week. Eerily almost too low, if you cogitate on it.  An NFP number, a major vote and Santa Clause and I think to myself where would the surprise come next week and my guess now is to the upside.    VIX futures seem fairly priced so that makes an adequate but not great hedge.

The Trade

SPX Dec15/18 2655 call spreads look cheap for 1.0.   One would want to be long. Cheap SPX puts could hedge.

Disclosure: WMT, SPX, QQQ , VIX positions

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Option Pit Vol Report Is the Rotation Over?

Posted By Mark Sebastian Thu, 12/07/2017 - 8:58am

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Option Pit Vol Report 12-6-17

Posted By Mark Sebastian Wed, 12/06/2017 - 9:29am

The Volatility of Politics

Posted By Andrew Giovinazzi Tue, 12/05/2017 - 3:28pm

Stocks are stuck to the vicissitudes of Congress until the recess on Dec 15th.  I don’t see how much can propel us higher or to touch the ATH’s we reached earlier on Monday.  The nagging bid for Treasuries is a bit disconcerting as well.  Today we had the ultimate “What the Hell!” signal out of SPX, meaning VIX down, SPX down.


LivevolX for Lightspeed

The rout in NDX abatted, see yesterday’s blog, but today is a bit of a goof.  You can see from the Livevol™ chart that IV across the term structure got obliterated on the non-follow through from yesterday’s close.  I think this is the vol saying something will get done, VIX down, but we are tired of waiting for it, SPX down.  Maybe a little rotation back too.  There is a trade for this.

The Trade

IV expiring before Dec 15th will have a hard time holding a bid this week.  Upside custom flies for credits at all-time highs in SPX  should pay and leave room for a retest.

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Morning Vol Report 12.05.2017 NDX bouncing a bit

Posted By Andrew Giovinazzi Tue, 12/05/2017 - 9:44am