SPX

Between SPX Volatility and VIX something has to give

Posted by msebastian on Thu, 02/02/2012 - 4:05pm
Traders,  something HAS to give in this market place.  As many of you know, realized volatility has been in the toilet.  This means that the market has been doing little to nothing for sometime.  Today,  30 day Historical volatility is going to close at under 13%!  That is unbelieveably low.  We can see the slow move in the SPX, and its HV falling off a cliff in the chart below: Graph from livevol (r) www.livevol.com

AAPL Options Implied Volatility in the Toilet

Posted by msebastian on Mon, 01/30/2012 - 4:13pm
It is somewhat common knowledge that I continue to be a seller of option premiums right now.  However, that doesn’t mean that traders should be selling all option premiums.  There are a few tech names where the implied volatilities have been crushed to levels that we have not seen in some time.  Take AAPL for instance:  30 day option implied volatility is at two year lows: LiveVol (R) www.livevol.com

Bond and S&P IV In a Strange Place

Posted by msebastian on Wed, 01/25/2012 - 5:27pm
To show you how great of an effect that the Fed, Europe, and congress is having on the market, I thought I would point out something unique that is currently happening:  Here is a quick look at volatility in the SPX Livevol (r) www.livevol.com

SPX IV a Touch Troubling

Posted by msebastian on Tue, 01/17/2012 - 6:13pm
Don't forget to register for tomorrow's webinar.  You can do it here. I have been saying for some time that I thought we were going to touch 1300.  Now that we have, where are we going from here?  I'll be honest, I am on the fence.  There are a few things coming out of option prices that make me bullish: 1.  VIX futures are in a somewhat heavy contango 2.  Market momentum 3.  The way the SPX has shrugged off bad news on Friday Then there are a few things that I really don’t like.  Maybe they are more of a long term.  Maybe they are short term.   1.  Today's turnaround was as bearish as Friday's turnaround was bullish

Break SPX-VIX in Correlation Slightly Troubling

Posted by msebastian on Wed, 01/11/2012 - 11:41pm
We will be having the second free webinar in our using the VIX to trade series.

VIX Futures Not Exactly a Harbinger of Bad Things

Posted by acparis on Tue, 01/10/2012 - 8:36pm
We will be having the second free webinar in our using the VIX to trade series.  Go to our EVENTS page to register.  Also, make sure to read the Option Pit Challenge below: As I was looking at the VIX trading relative to the SPX, I was struck by a few things: 1.  While the VIX really threatened to break 20, it never did.  The VIX rallied toward the end of the day, which shows there are some buyers of insurance that are willing to step in and buy insurance with the VIX at 20.00 

Will Q1 2012 Be Boring?

Posted by acparis on Mon, 01/09/2012 - 4:06pm
We will be having the second free webinar in our using the VIX to trade series.  Go to our EVENTS page to register. I know it might sound funny, but it is possible that the first quarter of 2012 could be a really boring quarter.  The VIX has normalized and is about to dip below 20%.  The SPX isn’t moving at all.  SPX IV is now trading at the highest premium to 10 day realized IV that we have seen since April of 2011.

VIX Officially Off Steroids

Posted by acparis on Fri, 01/06/2012 - 6:26pm
I have to admit, while I have been expecting the VIX to return to normalcy, I have been shocked at the speed at which it moved down.  I have been writing for some time that I expect the VIX to fall down and fall down hard.  We wrote about how in December we were expecting the VIX to dive based on how the futures were priced.  Even so, I didn't think VIX would be threatening 20 by the first week of January.

When the Time Spread Edge Can Look Too Good

Posted by atg on Wed, 01/04/2012 - 6:41pm
When the Time Spread edge looks too good to be true....  With the SPX closing flat today, I thought it would be interesting to identify other phenomena outside of the big indexes.  I did find the non-pull back today mildly bullish, and I think it has a hint of more upside to come (the Euro mess seems to be accepted now).  The ECB credit facility is providing the liquidity needed a la TARP, so they learned a lesson from the Fed in taking action.  The long term Euro budgetary solution remains to be seen, which will require, unfortnunately, more action. 

VIX Movement Normal, Curve in Good Shape

Posted by acparis on Tue, 01/03/2012 - 4:45pm
As I was giving the AM Vol Report today, many an option trader asked me about the price action of the VIX.  Was the fact that the VIX was barely down but the SPX was up a huge sign of a market not 'buying into' a rally.  Sometimes the answer is yes.  I gave a great VIX webinar last month where I explained how I use VIX to help me trade S&P Futures, SPY, and other directional plays.  However, today we are not looking at that situation at all, despite the ATM IV being flat: SPX 1275