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SPX Vol Has Bounced

In the last two weeks we have seen a few surprizing things out of SPX vol.  We saw a settlement in VIX below 12.50 and we saw 10 day realized vol dip below 5%.  Surprizingly low given how much the market was moving a month ago, and even considering how hard the SPX rallied in April.  Yet there it was.

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AAPL Vol Was WAY Too Cheap Into Earnings

AAPL had earnings,  and whether you thought it was going up or down there is one thing that seemed off,  vol was low into earnings.  The AAPL straddle was prcing in a move slightly over 4$.  That seemed low to us at option pit.  Well...we were right take a look at where the 104/105 strangle went out that expires NOT just this Friday, but on Friday May 27th.  The straddle was about 60% too cheap or more.

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VIX Curve Normalizing

We have made a few comments over the last few weeks that the VIX curve was out of whack as the cash index has traded at a steep discount to the futures contracts.  We noted that we though a spread of about 2 points was justified based on tthe current VIX level and the days to expiry in the futures.  Today, with the small sell off and the weekend effect, we saw the VIX futures essentially unchanged, while the VIX cash picked up .86.  Consider the curve normalized

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JPM Vol is Too Cheap

Today in the Pit Report we were scrolling through IV levels that were popping up as cheap and one of the financials hit for the 1st time in a long time.  The cheapest financial, by far, is JPM.  While XLF and some of the other names that have already had earings have seen their vols back off, none has taken the dramatic drop in IV that hit JPM the last couple of days

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