time decay

The Weekend Effect is back so is the Deficit Crisis over?

Submitted by atg on Tue, 01/22/2013 - 5:43pm

One of the first things we try to convey in the Pit Report each day is what the volatility markets are doing. There is always room to discuss a stock going up or down, but volatility study is one of the places we help our clients the most. A day like today is the perfect example. The reason being, of course, is what the numbers say, and what is really happening can be two different things. For instance, the closing number on the VIX today was 12.58, up about .12 on the day. At first glance, that is the volatility up slightly on a day when the market hit another short term high with the SPX just an open away from 1500. Those seem to be two contradictory things.

How Will the Extra 2 Days Off Effect the VIX

Submitted by acparis on Tue, 10/30/2012 - 2:33pm

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Traders Putting the Decay Back into Weekends

Submitted by msebastian on Fri, 02/24/2012 - 8:41pm

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SPX IV and Price Not Matching Up

Submitted by acparis on Mon, 12/19/2011 - 9:28pm

In the midst of one of the lowest volume trading days of the year it took little effort to push S&P 500 futures down. The ES futures themselves closed below 1200 for the first time in sometime. While light volume can be a good reason to ignore the markets do not forget that Black Monday was actually a low volume day. On most days when the market is down big the average volume is going to be much lower than when the market is UP big. So should traders be scared? Is this 'break out' toward 1200 low?

Why Do Long Dated Options Have Higher Implied Volatilities than Short Dated Options

Submitted by msebastian on Thu, 02/10/2011 - 9:52pm

In yesterday’s blog I explained why front month volatility does not correlate to the next mon

What To Expect When You Expect Nothing

Submitted by msebastian on Wed, 12/22/2010 - 9:05pm

I have spent the past few days explaining to you option traders that the next two weeks might not be the best time to be short premium. While I believe this to be true, I do not want you trad

When is the best time to sell AAPL Weekly Iron Butterfly's.

Submitted by msebastian on Mon, 08/30/2010 - 6:23pm

Option traders, over on Option 911, Mark Sebastian wrote a piece called "How Time Premium Decay's