realized volatility

Sticky VIX

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VIX is having bouts of self-doubt about halfway through the day the last couple of days.  The 13 handle is acting like kryptonite which repels all VIX declines.  The SPX is in such lofty territory that any pullback is taken as a sign of worry.

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Treasury volatility is still popping


Since today is another day stocks are making a little run on the shortened session prior to Christmas.  I think the move to 2100 on the SPX is pre-ordained by the law of even numbers.  Stocks love going to a number.  Test a new high, break some support, it is all just round number.

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Will the low realized volatility stay with us forever?

I like working at Option Pit with Mark Sebastian and I like our clients.  Well one it is fun, most of time, and we have great clients.   From time to time we get some solid observations from them.  That is another thing I like.  Having a different perspective from traders you have helped educate usually means some interesting stuff know the foundation is solid.  So I am giving one of our clients some props here for this one.  He  knows who he is.

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Stocks are bending but not broken yet

Thankfully you are not a Russian IRA holder right now.  Normally when the USA invades stocks are in a state of suspended animation and then they pop. Historically that is what happens.  If the Russians invade Ukraine I am not so sure the same thing will happen.  The RSX will probably sell off another 2 or 3% easy.  Stocks here will sit in limbo to slightly lower.  We have recent history of the RSX and SPY to confirm that.

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Hello, Avon Lady

A dead day is a dead day.  And today the market is living up to its low volatility number by putting in a .14% drop today.  That is hardly enough to register on the VIX-o-meter.  Any little blip in activity stands out more on a day like today.

Note the activity in the AVP Aug 13 puts.  Paper bought a big block of puts and most likely this was tied to stock.  As we move forward earnings are usually on the 1 day of August in AVP.  This is pretty early in the earnings cycle to buy a big chunk of juice.

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VIX has its revenge

With Syrian warplanes getting into the mix stocks took a slight pause today.  Between Syria and Iran the ISIS militants have found a more able adversary.  Early in the session the NDX was moving into some lofty ground but by the end of the day started to head into negative territory.  The only names still up were Treasuries and the volatility products.

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