options trading

VIX MEH Signal Confirmed and Validated

In yesterday's blog we discussed how the VIX was not impressed by this rally.  Today I think its safe to say that the underperformance of the index pretty much confirmed.  VIX correlation to its underlying is one of the best way's to call a pop and this was no different.

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www.vixcentral.com

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VIX Say Meh

The S&P 500 is in what appears another decent sell off.  At the lows today, it was near levels that we saw in the sell offs surounding Greece.  In fact, with another similar drop to today,  the S&P would be right near that recent low close.  Yet, take a look at the option market.  While during the Greek Crisis VIX touched into 20,  This time the VIX has barely touched 16 and does not seem to be a threat to get to 20 with out another bigger push lower.

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Content is King Another CHEAP STRADDLE

So far this earnings cycle we have seen big wins in tech out of GOOG, NFLX, and no AMZN.  Flops have come from AAPL, IBM, and MSFT.  Take a look at the pricing of AMZN from today (now up about double the straddle price).

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Livevol (r) www.livevol.com

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Why Are NFLX Traders Always Wrong

NFLX had earnings today and the stock moved 17.00 dollars, rallying past 115.  The straddle was pricing in a move of less than 10 dollars yesterday.  Hey, surprizes happen...however NFLX has outperformed its earings straddle for 4 straight quarters, ever since they started producing their own content.  Take a look:

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www.livevol.com LivevolX (r)

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VIX Got ALOT Ahead of Itself

Yesterday we discussed how the VIX might have gotten ahead of itself before the Greek vote.  Considering the IMF statements, ECB, and all of the other Parlitment Reps talking in Greece, there is still SOME doubt that a deal gets done.  Even though the deal will probably be signed,  With SOME doubt the VIX should not have a 12 handle, especially considering China is still floating around.  The market seemed to figure that out today after some premium sellers got ahead of themselves.

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Did the $VIX Get a Little Ahead of Itself?

Greece has a deal,  good or bad, there is some sort of deal.  However it is not a done deal.  The Greek Parliment still needs to approve it, and then alot of other details need to still be worked out.  This might be part of the reason that S&P 500 rallied less than 50 points on the Greek deal over 2 days.  Yet,  the VIX has been utterly hammered. For a tiny rally,  volatility has been completely smashed.  Take a look at the magnitude of the move S&P 500 IV made relative to the actual SPX.

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