implied volatility

VIX Realized Vol about as Low As It Gets

I spent a little time looking at VIX vol today.  I have to say, it is about as low as it gets...but could go even lower.  Take a look at how much HV has plumpted in VIX over the last few weeks.  But, taking a look at 30 DAY HV,  it is possible things could get worse.

Chart - ^VIX - CBOE Volatility Index_window_screenshot_4.png

LivevolX (r)

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Is there a second take in TTWO?

Stocks are going to make a closing high today or near it as I write this post and I can’t help but think we would be way higher if Vladimir Putin could make up his mind what he wants to do in the Ukraine.  We know what he wants to do, take a bunch of territory, but the Europeans are still threatening sanctions.  That is keeping the VIX into another elevated close and vol. futures bid.

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VIX term structure is getting cheap

Another day another rally in the good old USA as America Inc. keeps delivering the goods.  More solid earnings and home start data got us off to another good start today.  Market players are waiting on Yellen to report some lower to stabile rate news, which could  send stocks even higher.  I see that 200 number on the SPY and can’t help but think that is the next round number to cross the line.

charts from :

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LNKD volatility is cheap

Yet another rally on no bad news as stocks love the lack of action overseas.  That was kind of a mouthful.  There is no doubt that the gravity is pulling stocks up overall.  The rally to all-time highs in the face of overseas unrest is just another reason to believe in the rally.  Another reason to believe is the lack of a bid in IV.  The VIX cannot hold a bid for anything even as a near panic hit volatility of Friday morning.  By the end of today it was all forgotten.

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MU Call ITM Buying

Sometimes customers do really weird things.  Sometimes its because they have a strange stock position.  Sometimes its because they ahve been given bad advice by a cruddy broker.  There are cases where the customer just has a strange idea on how to trade or has no idea how to trade.  To be honest I do not know what this customer is doing in MU.  Check out the volume and open interest in MU ITM call options in september.


Livevolpro (R)

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Is the FB vega too cheap?

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After a weekend of non-activity stocks got back to their old ways and launched this morning without so much as a how do you do.  This latest Euro issue has been around since December apparently and Euro bank stocks were already trading at lower levels.  Either way VIX and the volatility futures are tanking today and the only thing holding up the IV is the balance of earnings.

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Portugal sneezes, market swoons

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There we go stock finally had a solid down day.  No wait, that was the opening.  By the end of the day stocks retraced half of what they lost and the NDX got to just up about midday before giving some back.  It has been a while since a European entity or issue has shaken stocks.  The last one that comes to mind was the banking crisis in Cyprus that made Bitcoin a household name.

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Guess the Volatility Chart

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The following shows a vol chart of a high dollar stock,  The Stock has been a high flier and has had wicked moves.  The IV has been extrememly bid relatively consistently, yet over the last two months the undelrying stock volatility has changed.  The stock has no longer been moving around as much and has become somewhat range bound.  take a look and see if you can guess what the stock is:

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Are we running out of volatility to sell?

That is the question I am asking myself.  I show IV now in the 6 handle for OTM calls in the SPY.    This is on top of the SP 500 moving into record territory again.  We are moving into the realm where the upside is so cheap no one wants to sell it anymore.  Fund managers looking for extra yield are going to start selling calls in stocks if they cannot get the dollars they want in indexes.

Upside IV is in the 6 handle!


3D chart by OptionVision

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VIX Not Going Anywhere But Down

Currently the VIX futures are trading at a premium of less 1 point relative to the cash VIX.


With more than two weeks to expiration, this is a pretty light spread.  When taking into account that the cash VIX is in the 11's and the Future is 12.45 this is incredibly low.  Basically, traders think that a cushion of about .95 and a VIX future of less than 12.5 is plenty of spread to handle any upside risk in VIX.  Why?

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