SPX

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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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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Beware despots sending in aid

 Sign up for our free VIX class here for Sept. 24th, 2014-  

It is funny I thought the Russians sending in aid a couple of weeks ago was a bit of a smoke screen.  Somehow the Ukrainian rebels got a new leg up.  The situation for them has gotten better since the white “humanitarian aid” trucks went in.  Fast forward to today.

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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

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Has the Weekend Effect Moved?

The blog post that really broke out our blog was this one involving Time Decay and the Weekend (we will always have a special place in our hearts for Bill Luby pushing it out).   To sum up the post, we explained how market makers 'moved the clock' on their machines to bring implied volatiltiy down with out screwing around with their actually vols they were running.  The basic point is that market makers take weekend decay out over a few days at the end of the week which causes VIX to drop on Thursday's and Friday's and to rally on Monday's.

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VIX Futures Ahead of the Curve

Yesterday I made a comment on how I thought VIX futures were maybe oversold.  I was right, but not in the way I thought.  Today, despite the VIX threatening 11.5% and the SPX hitting an all time high, the VIX futures curve barely moved:

vix_20.JPG

www.vixcentral.com

The reason they didn't move was because the VIX futures were oversold.  They were anticipating today's move and were pricing in the cash VIX adjusting to the futures, not the other way around like I thought.  Notice how on top of eachother the curve yesterday and the curve today are, then notice the difference in VIX.

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VIX Might Be Overdone

While I believe that the VIX is not going to 20,  I think today's move below 13% might be over done.  The VIX has not just eased off the last few days, it has borderline crashed.  Take a look at how it looks incomparison to the S&P:

Chart - ^SPX - Standard & Poors 500 Index_window_screenshot_2.png

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VIX Buying Explodes on SPX Technical Levels

I am not one to be into technical analysis.  However, to say that they completely don't matter is probably a stretch.  For instance, up until today,  the 100 Day Moving Average was acting like a trampoline.  Everytime the S&P touched the level it would bounce.  If you think traders weren't watching the level, take a look at how the VIX would move when the SPX crossed 1913 (the 100 Day)

VIX_34.PNG

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