options trading

VIX was Bad VVIX Was Worse

Today, the VIX had about its biggest move in the last few years jumping about 5 bucks.  In percentage terms, its the 8th largest, although, when its comgin from 13 instead of 20-25, its not as big of a deal.  What I found profoundly more interesting is what happened in VVIX nad VIX futures.  In the futures, July is now flat with August,  if July gets bid above August, that is always a sign that something bad could happen in the overal market.  VVIX, which my friend Jared and BCG has done some excellent research on, absolutely exploded today.

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LLY Vol Exploding

Eli Lilly & Co. had a positive rulling today in Great Britain involving some drug that is probably medically important and may help one of us someday.  However, what I find interesting, is that an event that should have dropped vol did not have the result.  Take a look at the stock and the vol:

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LivevolX (R) www.livevol.com

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Are We Really That Confident in Russia

I have to admit a was a bit stuned when I looked at the implied volatility of the RSX, the Russian ETF.  Its at just about the lowest level of the year,  This as the president authorized military equipment of 6 countries to stave off Putin and all out war wages in Ukraine.

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RUT Implied Volatility is in The Toilet

Whille the VIX certainly had a rough day selling off to 12.60.  I think the more interesting story is the Russell 2000.  Today, the RVX touched a 52 weekly low and is near 2 year low.  One can see how cheap its gotten,  trading below 15 for only the 2nd time this year. 

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VIX Curve Completely Unchanged From Last Month

Today as I was examining the VIX curve I thought I would take the time to look at where things were last month.  Take a look at the curve from May 20th vs Today.  The two cruves look almost identical:

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www.vixcentral.com

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VIX Futures Traders: Smart

On Monday we discussed how VIX futures were not buying into what the VIX cash was dealing.  We called it scared and complacent at the same time.  Today we appear to be hear to discuss how, yet again,  VIX futures traders were right and SPX put option buyers were wrong.  It amazing,  this time two days ago VIX cash was at a premium to June.  2 days later, a .60 discount.  If in a situation between VIX and VIX futures most of the time the futures traders are right.

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Can a Market be Frightened and Complacent?

The old saying is complacency kills, to which I would say...unless one likes to sell premium.  In that case complacency rules.  All kidding aside, the market appears to be in an odd spot:  On one hand we have the VIX cash market, the market derived from index options.  its trading at about 15.30 or so as I write this and is currently trading slighly above the June future (which still has a 9 days until it settles.  

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Our Founder talking SPX, VIX, and OIL on Bloomberg