iron condors

14 is the new 10 for VIX, or maybe 15

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As 2015 draws to a close on low volume and kind of ugly action, I try to figure out what the next year is going to be like in terms of volatility and the VIX.  Some general observations from this year:

VIX as of today is up a point with stocks around the same place from last year.

We had another Flash Crash in August for no real reason.

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Time for Iron Condors

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As we wind into Thanksgiving the liquidity providers have done a good job of squeezing out the holiday premium.  Nov 27 volatility in the SPY, from LiveVol Sigma, is a round 9.43 and will be lucky to hold the 9 handle as Thursday approaches.  Why?  Well the only easy to get the time premium out of the options is roll the days forward.  That will read as lower IV today.

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So on the final day of 2014 the volatility rallies, really?

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With stocks ringing up another banner year the most unloved asset is making a move into the close.  No I do not mean oil.  That asset is volatility.  VIX is up 1.60 to 17.52 as I write this as players are getting very nervous moving into 2015.  The relative volume landscape tells a more enlightening story.

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Rattling the Sabers

I started trading options as a floor trader in 1991 right about the same time as Gulf War 1.  The runup to the war was characterized by gloom, volatility and really weak stock prices.  I think the Dow was 2300 or so.  Not much has changed in the 24 years since then through several other political crises and GW2.  The one constant has been after the USA goes in and starts shooting, stocks rally and the VIX cracks.  Until today that is, or maybe.

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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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The volatility futures are frozen

The TWTR lock up ended not with a bang, but a plunge through the ice.  TWTR closed on the lows and a new low since the IPO today.  The action felt like a big lock up, seller wanted to get out as the selling was steady all day long.  I am not sure that they are done yet.

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The VXX is the same place it was in October

RIP Philip Seymour Hoffman

The ISM report was not great today.  On the brightside, bad news is bad news again.  Should stocks be at an all-time high with weak economic numbers?  The answer is probably not.  The steady exit from the emerging markets is continuing apace with investors leaving at a good clip.  As far as I can tell, Argentina and Turkey are suffering real issues, but the rest of the EM world is just kind of moving along.  It does not matter when money wants to hit the exit, they just jump.

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This time the Fed ain’t saving you

Thank you to all those who attended our Bear Market Trading seminar. Look for the March Seminar topic coming soon!

The Fed is continuing the modest tapering of bond purchases and thankfully ignoring the machinations in Turkey and Argentina. A stronger statement of course would be that they taper 20 billion instead of 10 billion.  There were some hopes that maybe with stocks lower that they would ride to the rescue.  That did not happen.

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