implied volatility

RIMM skew doing some funny things

Posted by atg on Fri, 01/27/2012 - 6:20pm
Today was a day on Wall Street that was well, strange.  There was a nice little rally in the NASDAQ as it teetered near even most of the day and ended with a little move up.  For the most part the other indexes were lower including the VIX, as there was little good news to really lift things.  I think, at this point, the markets are at the end of cheap credit.  Negative interest rates for TIPS anyone?  That is not the kind of thing markets want to see.  There feels like there is some serious confusion as to what money managers will put money into.  Does anyone really want to buy an Italian Bond yielding 3.5 after the bond holders are about to take a haircut for Greece?  Governments need to start feeling the heat of higher interes

Netflix is streaming to a TV near you

Posted by atg on Thu, 01/26/2012 - 7:25pm
The 4th quarter of 2011 is now viewed as the quarter of "the big growth momentum earnings wreck syndrome".   The big names like AAPL, NFLX and GMCR took it on the chin. So did much of the market as I recall, but I digress.   At least for the first two names for this earnings cycle that is not the case in the sunny land of 2012 (no problems fixed and the credit you want).   I am going to focus on NFLX for now, because I think the reason for the move is much different than AAPL’s, and there is a more interesting trade in there.

VXX closes below 28

Posted by atg on Mon, 01/23/2012 - 7:31pm
Did you catch our COO Mark Sebastian's mention on Mad Money.  View the Video here.  As a follow up, on February 15th, we will be presenting a webinar:  Using Options To Trade Stock Earnings.  Register here. One thing that can be said of the products related to volatility is that they make new lows more quietly than they make new highs.  A new short term low goes by with a whisper.   Also, the trend in the products does get to be a near one way train at the ends.  Let review a few simple stats as the VXX last broke through $28, albeit in the other direction.

SPX IV a Touch Troubling

Posted by msebastian on Tue, 01/17/2012 - 6:13pm
Don't forget to register for tomorrow's webinar.  You can do it here. I have been saying for some time that I thought we were going to touch 1300.  Now that we have, where are we going from here?  I'll be honest, I am on the fence.  There are a few things coming out of option prices that make me bullish: 1.  VIX futures are in a somewhat heavy contango 2.  Market momentum 3.  The way the SPX has shrugged off bad news on Friday Then there are a few things that I really don’t like.  Maybe they are more of a long term.  Maybe they are short term.   1.  Today's turnaround was as bearish as Friday's turnaround was bullish

Will Q1 2012 Be Boring?

Posted by acparis on Mon, 01/09/2012 - 4:06pm
We will be having the second free webinar in our using the VIX to trade series.  Go to our EVENTS page to register. I know it might sound funny, but it is possible that the first quarter of 2012 could be a really boring quarter.  The VIX has normalized and is about to dip below 20%.  The SPX isn’t moving at all.  SPX IV is now trading at the highest premium to 10 day realized IV that we have seen since April of 2011.

VIX Officially Off Steroids

Posted by acparis on Fri, 01/06/2012 - 6:26pm
I have to admit, while I have been expecting the VIX to return to normalcy, I have been shocked at the speed at which it moved down.  I have been writing for some time that I expect the VIX to fall down and fall down hard.  We wrote about how in December we were expecting the VIX to dive based on how the futures were priced.  Even so, I didn't think VIX would be threatening 20 by the first week of January.

VIX expectations versus the Roll Yield crushing VXX options

Posted by atg on Thu, 01/05/2012 - 7:09pm
VIX expectations versus the Roll Yield crushing VXX options I feel like that title is worthy of a WWF Cage Match special.  But really folks, there is something else going on.  With the VIX cash closing 21.48 and the VX/F (Jan VIX Future) closing 23.75 there is a solid upward expectation that volatility in SPX is going to pop in the January Cycle.  Look at the CFE home page at www.cfe.cboe.com.

When the Time Spread Edge Can Look Too Good

Posted by atg on Wed, 01/04/2012 - 6:41pm
When the Time Spread edge looks too good to be true....  With the SPX closing flat today, I thought it would be interesting to identify other phenomena outside of the big indexes.  I did find the non-pull back today mildly bullish, and I think it has a hint of more upside to come (the Euro mess seems to be accepted now).  The ECB credit facility is providing the liquidity needed a la TARP, so they learned a lesson from the Fed in taking action.  The long term Euro budgetary solution remains to be seen, which will require, unfortnunately, more action. 

Option Pit's Best Blogs: Is IV Predictive

Posted by acparis on Wed, 12/28/2011 - 9:16pm
Option Pit's After The Holidays Sale:  Do you want some option training for yourself?

The Inverse IV move in NFLX

Posted by atg on Tue, 12/13/2011 - 3:11pm
The Inverse IV move in NFLX