options trading

AMZN a Whale, GOOGL a Fail

On the heals of last nights complete and utter annihalation of the FB straddle I thought it would be interesting to follow a few of the other big earnings plays.  AMZN,  which had a straddle that was below the average straddle price over the last year,  saw its straddle go out 23 dollars.  As I write this the stock is up 36 dollars from the close, and really, if one was trading the straddle this morning,  the 300.00 straddle went out a massive 24 dollar winner, a full 100% return on the straddle bet.  Increadible.  

AMZN - Amazon.com Inc._window_screenshot.png

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FB Straddle Fail

FB announced earnings tonight.  While we saw some decent fire works out of AAPL,  we did not see the same thing out of FB.  The market was pricing in a move of about 7%.  As I write this the stock has barely budged.  The short strangle/straddle is goign to pay out extremely tomorrow,  Shorts will make about 4-5 hundred dollars a spread.  The payout is pretty clear below:

 FB - Facebook Inc_window_screenshot_0.png

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Our Founder's VIX Analysis on Mad Money

Mark Sebastian our Founder wrote up this analysis on VIX yesterday, in which he described the changes in market volatility over the last few months.

 

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VIX Set For Crazy Settle?

In August of 2013,  the day the VIX of VIX settlement also happend to be the day of the a FOMC announcment that many thought might be when they would announce the beginning of the end of QE in the US.  The night before the VIX cash settled 14.91.  With little to no movement in the SPX. the VIX opened up much higher and settled to almost EVERYONE's surprize at 16.42.  A huge pop.  Check out the intra-day range the index had.

Chart - ^VIX - CBOE Volatility Index_window_screenshot_6.png

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Say Good Bye to 11 VIX...For Now

There are many people smarter than us calling for a new vol regime.  While we are not 100% sold that is the case, we can say with certainty that a VIX with an 11 handle is going to be very difficult to get to in the next few months.  Why?  Realized volatility.  The market is moving again, something it did not do for months on end.  Take a look at 10, 20 and 30 day HV relative to SPX implied vol.

Chart - ^SPX - Standard & Poors 500 Index_window_screenshot_7.png

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More of the Same SPX and VIX

We are watching an incredibly orderly sell off of stocks right now.  While last Wednesday we saw a huge reaction in the VIX, since then the market has been down somewhat aggressively,  certainly on an intra-day basis.  However, VIX has moved with a slow orderly basis, essentially not panicking.  In addition, it keeps being sold at the end of the day. 

SPXVIX.PNG

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No Panic in SPX Sell Off

If VIX is the 'fear index' (it isn't) then today was actually quite worry free.  While the SPX gave away almost 2%, the VIX barely moved rallying only a touch over 2 points and settling below 20.  Recall that coming off a weekend the VIX SHOULD be higher by .75-1% anway.  What does this spell?  Take a look at the chart,  when I am watching VIX and SPX I always look for divergence... times where the SPX is low and the VIX is low too.

SPX_16.png

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Spotting the SPX Reversal Using VIX

In Tuesday's webinar Options for Stock Traders I discussed how I can use VIX to spot intraday trends.  One of the strongest signals for a reversal is when the market is hitting new lows, but the VIX is failing to hit new highs and/or is actually declining in price.  We saw a clear example of that this morning.  The chart below shows a tick chart of SPX and VIX on the day.

 SPXVIX.png

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WTI Options Rally Even as Vol Falls

The OIV which is the VIX of options on WTI is through the roof.  It currently in the mid-fifties.  To put things in perspective, the last time the VIX itself wasin the 50's was in 2008.  So that traders can get a real view of how it is moving I thought I would show a comparison of VIX returns relative to OIV over the last 6 months.

Chart - ^OIV_window_screenshot.png

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Now lets take a look at HV of USO (which tracks the volatility of WTI like a glove, even if it doesn't the price).  

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Like the Loved FB

One thing I always like to keep an eye on is how 'high fliers' perform in sell offs. In these most recent sell offs 'loved' names like TSLA, AMZN, GPRO, and AAPL have gotten a bit of a smoosh.  One 'loved name' that did exceptionally well in this sell off is FB. While AAPL dipped to 108, and GPRO back to 55,  FB stayed somewhat healthy never breaking 74.

Chart - FB_window_screenshot.png

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