options trading

RVX Crush the Next Shoe to Drop

The VIX got creamed today as traders realized that the Fed is probably not going to be that big of a deal.  Additionally,  if the Scotts do what they should do,  the VIX is probably going to go even lower.  Looking accross the board IV got creamed in the SPX, NDX and DJX.  It did not get smoked in the RUT which was the big underpeformer on the way up.  Those that follow RUT know that underperformance is unlikely to last and that the index will POP higher if the SPX stays high (which it probably will).  Thus,  I think there mgiht be some real oppotunity to sell premium in RUT.  Take a look at the price action of the RVX vs the VIX today:

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Our Founder on Bloomberg Talking SPX, VIX, YHOO/BABA

Our founder was on Bloomberg TV this morning
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VIX Is Really Expensive

Today, while the S&P was mostly unchanged, the VIX was up more than .80.  When taking into account for weekend effect a little better than unchanged.  Yet in many respects it should have been absolutely destroyed by the market.  Why?  Well take a look at where movement has been, in and out of meetings, in and out of economic announcements, and wars.  Yet for some reason this Fed meeting is being treated as if there is some fundamental change occuring.  Take a look at the HV/IV spread:

Chart - ^SPX - Standard & Poors 500 Index_window_screenshot_3.png

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And One More Thing VXAPL About to get Crushed

The news is out  Apple is going to have the I-Phone 6 AND the I-Phone 6 PLUS!!! Plus  APPLE PAY and the I-Watch.  Based on what the stock did,  the market acted to the AAPL conference much like McKayla Maroney would to a Silver Medal.  With that the VXAPL got smoked.  Even more so, the VIX options expiring this week and next week took it in the chin.  That being said, it appears the market is still holding out hope for some more movement here is a chart of VXAPL:


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VIX Realized Vol about as Low As It Gets

I spent a little time looking at VIX vol today.  I have to say, it is about as low as it gets...but could go even lower.  Take a look at how much HV has plumpted in VIX over the last few weeks.  But, taking a look at 30 DAY HV,  it is possible things could get worse.

Chart - ^VIX - CBOE Volatility Index_window_screenshot_4.png

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When GS Vol Breaks 15%, Its a Buy

We watch IV's of the SPX and many of its securities like a hawk.  Our goal is to try to find patterns that emerge in the volatiltiy markets that can potentially make money.  One that we have noticed internally and began to trade off of, in the strategy letter, is Goldman Sachs.  Traders have a bad habbit of overselling the premiums coming out of events and after big moves.  This is almost always a mistake.  Take a look at the pattern of GS when the IV drops below 15%.


Livevolpro (r) www.livevol.com

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Near Term HV at a Bottom

As we all know,  vol can go anywhere, but is unlikely to stay there.  While HV can touch into the low single digits for short periods of time, it doesn't stay there long.  Take a look at a 2 year chart of 10 day HV and 30 day IV

Chart - ^SPX - S&P 500 Index RTH_window_screenshot_0.png

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Notice that while IV is not at its lows, HV is in fact touching the lowest levels in two years. This would point toward one of two things

1.  HV has to rally

2.  IV has to implode

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Our Founder on Bloomberg TV Talking AAPL and RL

Our Founder Mark Sebastian was on Bloomberg TV from the CBOE talking SPX, VIX, AAPL and RL
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14.50? Really???

I understand there is a major difference between straddle price and actual movement, because most pricing models assume dynamic hedging.   The SPX is now 2000.00,  does anyone see the disconnect in the weekly straddle price?  Take a look at this trade ticket:

^SPX Complex Order Ticket_window_screenshot_0.png

Livevol X (r) www.livevol.com

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