Options Education

$UVXY and $VXX The Problem $VXUP Doesn't Solve

With the launch of VXUP and VXDN shares by accushares, the issuers of UVXY slipped in that the ETN is reverse splitting 5 for 1....again.  2 years ago, split adjusted UVXY was about 200 dollars,  thus it has lost about 96% of its value.  Kind of a rough go.

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TLT Vol is Still Too Cheap

This blog has made note multiple time that the bond market has started to move.  What is important to understand is that unlike markets like gold, or even currency.  If the bond market moves out of its range so will the stock market.  However, there is a more important point to made with bonds right now:  its too cheap to own gamma.  Take a look at 10 and 20 day realized volatility relative to implied.

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The VIX People Should Be Talking About

Yes,  today there was a huge trade in the VIX pit.  It is only news because its a slow day.  While that is a big trade it is no where near the biggest that pit has seen and would essentially be a light sneeze in SPX.  To make matters more interesting, that is not the VIX index that is going to be leading.  Many traders are noting that the SPX has been the tail to the bond market's dog.  Well  the VIX is likely to head the same way.  We have seen increases in IV of FX and Oil affect the markets.

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How is Bond Vol and Gamma This Cheap?

The 10 year made one heck of a nasty move the last few days.  This is killing the back end of the curve and long duration treasury funds, the most active of which is TLT.  TLT was down more than 2 dollars today, and is down about 6 dollars in the last 5 days.  Yet,  even with all of this movement,  ATM options, while juiced are probably not pricing in an IV high enough to handle all of this near term realized volatility.  Right now, I can buy the ATM straddle expiring in 9 days for about 2.85.  Les  than 1/2 the move the ETF has made in the last 4 days or so.

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VIX Pointing Toward a Breakout...Finally?

The VIX touched about the lowest level its seen all year hitting as low as 12.10.  At the same time the SPX continued its threat to break out higher.  And from what I am seeing I think it could happen as early as tomorrow.  A pattern is developing of the SPX grinding in place, but seeming to have a trend that is slightly higher.  At the same time,  the VIX is absolutely trending lower.

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