time spread

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 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.

VIX expectations versus the Roll Yield crushing VXX options

Posted by atg on Thu, 01/05/2012 - 7:09pm
VIX expectations versus the Roll Yield crushing VXX options I feel like that title is worthy of a WWF Cage Match special.  But really folks, there is something else going on.  With the VIX cash closing 21.48 and the VX/F (Jan VIX Future) closing 23.75 there is a solid upward expectation that volatility in SPX is going to pop in the January Cycle.  Look at the CFE home page at www.cfe.cboe.com.

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  

Free SPX Gamma? Don't Mind if I Do

Posted by acparis on Thu, 12/22/2011 - 3:51pm
REMINDER:  Our Christmas Sale Ends Saturday email us mark@optionpit.com for special deals on Option Pit Products!

SPX IV and Price Not Matching Up

Posted by acparis on Mon, 12/19/2011 - 8:28pm
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?

What Happened to the VIX

Posted by msebastian on Mon, 12/12/2011 - 5:19pm
 

SPX Term Structure Is Getting out of Whack

Posted by msebastian on Wed, 04/27/2011 - 4:29pm
While I am interested in talking about the metals again today, I think the more interesting place to look at volatility is in the SPX term strucuture.

Option Pit Option Mentoring Breaks Down the Anatomy of a Profitable OEX Calendar

Posted by msebastian on Mon, 11/29/2010 - 7:10pm
If you have read or listened to anything produced by Option Pit Option Mentoring you know how important we consider the implied volatility spreads between the months when entering a time spread.