Options Education

Option Pit and CBOE Livevol Announce Option Pit Custom Scans within the Livevol Platforms

July 19, 2016 03:31 PM Central Daylight Time

CHICAGO--(BUSINESS WIRE)--CBOE Livevol recently released in their analytics and trading platforms four new live options market scans designed in collaboration with Option Pit. The market scans use a combination of realized volatility, implied volatility and current price performance to help identify real-time actionable trading opportunities.

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Bond Vol is Too Cheap

In the last two days this blog has had two trade ideas:  S&P vol is too cheap (even cheaper now) and Oil vol is too expensive (which it is).  Moving into fixed income,  one can see that the dog wagging the tail of S&P 500 movement is bonds.  Take a look at realized vol in the bonds and how much bond IV has increased (this is TLT).  Bond vol has slowly rallied,  but is still too cheap,  We like buying TLT premium and/or TLT calendar spreads.

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Oil Vol is Too High

In the last few days the market has continued to see vol collapse and the market hit new highs.  Meanwhile USO has started to churn up and down but IV has crept up.  This wont last and should be sold.  An OVX above 40 is too high,  an OVX above 35 is probably too high.

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The Market is Unimpressed

At one point in time the S&P 500 was down about 1.1%, about 22 points, not a bad sell off considering VIX was in the 14s on Friday.  Yet, here we are ending down by about 2/3% and the VIX couldn't even hold up the weekend adjustment.  For the time being there appears to be no fear.  At no point in time, on a relative scale was VIX near levels it opened up at, and even down 22 didnt come close to 17.

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