SPY

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

Are the US Equity markets still connected to the Euro mess?

Posted by atg on Fri, 01/13/2012 - 7:08pm
Are the US Equity markets still connected to the Euro mess? Last year was really two different years rolled into one.  There was the Go Go equity climate till late June (NFLX $250 bid anyone?), and then Congress ruined it by passing the buck on a historic deficit reduction package.  I still think the market was looking for some leadership and ended up with zip.  Anyone with an electronic device knows what happened then, as the VIX became the most quoted index in the land.  The European Do Nothings joined their US counterparts, and the fire was lit.

SPX Setting Up for Ugly Trip

Posted by msebastian on Wed, 10/19/2011 - 7:44pm
Since the VIX touched below 29 last friday, the SPX has done little, but IV has done a lot.  I think we have one more quick look down to 1150.

VIX down, Volatility Up, AAPL Down

Posted by msebastian on Tue, 10/18/2011 - 7:57pm
I spoke about how the magnitude of yesterday's VIX rally was bigger than the selloff in the SPX.  Today, we are seeing a continuation of that effect on a rally.

Market Expecting VIX to be Significantly Higher Tomorrow, AAPL Primer

Posted by msebastian on Mon, 10/17/2011 - 4:07pm
Looking at the way the SPX Implied volatility was up on the open, it was almost immediately clear that today was going to be ugly.

Thoughts on the SPX PM Settle Options

Posted by msebastian on Wed, 09/14/2011 - 7:28pm
The CBOE announced when the SPX PM Settle options will officially be listed, and that date is October 4th (read the microsite here).