Mark Sebastian's blog

One thing that is really interesting is how high realized volatility is in the VIX right now.  While VVIX might be elevated, it actually pales in comparison to where realized vol on VIX cash is (even if the futures haven't been moving):

Livevol (R) www.livevol.com

What causes this?  One major thing to remember about volatility is that it represents standard deviations.  The lower the price of the underlying, the lower the standard deviation should be.  The VIX has, as you should know by now, really fallen off.  

The TLT has been in a bit of a range for the last few weeks.  I do not think it has broken a 3 dollar range since early March.  This, is, very similar to SPX which, until recently, was spinning its wheels.  Take a look at how tight the range is:

LivevolX (r) www.livevol.com

Elon Musk put out a tweet today explaining that he is going to have a big announcement next week.  I was asked to discuss this potential announcement on Bloomberg.  Here is the Video:

My basic point is that IV on TSLA options really hasn't moved very much, and in fact, was slightly down on the day.  We can see April and May vol sold off today, despite the uptick in volume.

Today our COO was on Bloomberg TV's Street Smart talking about the action in the market today.  The anchors seemed intent on discussing Fed policy and how it drove the market.  Mark's point was that the Fed really had no bearing on the overall market today.  Yes, the Fed matters long term,  however, in the near term, it appears that Cypus is what everyone is watching.  Take a look at a tick chart of the SPX from today:

LivevolX (r) www.livevol.com

One of the mistakes that sends many traders to our option mentoring is the trading of VXX.  Shockingly there are traders that think this ETN should perform the way the VIX performs.  This is clearly NOT the case.  Today the VIX closed 14.39 up 1.03%, the VXX on the other hand closed unchanged to 21.58.  VIX is up a touch less than a point from the open on Monday.  VXX is actually DOWN from that open on Monday. We can actually see the differences in a visual tick by tick chart of VIX and VXX.

Here is a chart of the VIX over the last 2 days

Livevol (R) www.livevol.com

It's back and better than ever.  The Option Pit Mentoring Tournament Pick'em Contest!

We are using Fibonacci Scoring with a seed differential multiplier.

Prizes

First Place:  $1,000.00 Option Pit Credit

Second Place: $500.00 Option Pit Credit

Third through Fifth Place:  A copy of our COO's Book:  The Option Trader's Hedge Fund

While the big news around Option Pit Mentoring is the VIX closing below 12 again, SPX is not the only major product with IV in the toilet.  GLD IV is getting crazy cheap.  The GVZ is trading at 6 months lows and near all time lows.  

Livevol (R) www.livevol.com

If we look at actual GLD vol over the last 10 and 20 days, it actually looks somewhat fairly priced.

Livevol (R) www.livevol.com

One of the things most options traders watch is what the VIX curve looks like.  It's not just the overall shape that matters, it's how steep the curve is, much like skew.  Last month at this time, the VIX was trading at 13.7.  The Feb future was trading 14.35, a premium of about 5% to VIX cash.  This is about normal, and points toward a market that is somewhat efficient and comfortable with VIX levels.  The VIX futures ended up settling 13.07.

Today, the VIX settled 12.25, while the VIX future settled 13.20, a premium of near a full point.  This is a premium to cash of closer to 10% than 5%.  In fact, the enter curve is trading at huge percentage premiums relative to the norm.  You can see the two curves next to each other below.

On Friday's I host a podcast called Volatility Views with the great Don Schlesinger.  He has many great sayings, but perhaps his best is:  "There are options that should be sold, and options that should not be sold."  Right now, I think Don would clearly say now is not the time to sell options.  The SPX is right near its all time high, not fundamentally important.  But what is important is where IV's and HV's are currently trading.

The VIX closed at a 6 year low today, trading near 11.56 on the close.  

Our COO was on Bloomberg TV discussing BA option trading ahead of an upcoming NTSB decision on the 787 Battery.  You can watch the video here:

Boeing continues to rally ahead of an important NTSB decision on the safety of its battery system within its new 787 Dreamliner, but why? Considering BA is nearing an all-time high, it seems likely the market has already “baked in” the idea that the NTSB will eventually approve the system.