VIX

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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Volatility on a knife edge

Close but not quite there yet.  SPY traded 199.75 today as the 200 level hangs like the Sword of Damocles over the market.  Everything is feeling good and long equity positions are kicking butt.  In short living the good life like Damocles envisioned.  However, the sword is poised to drop if Janet Yellen cuts the horse hair on rates and down the market drops.  There is some weird tension on that tenuous horse hair of volatility.

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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:

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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 term structure is getting cheap

Another day another rally in the good old USA as America Inc. keeps delivering the goods.  More solid earnings and home start data got us off to another good start today.  Market players are waiting on Yellen to report some lower to stabile rate news, which could  send stocks even higher.  I see that 200 number on the SPY and can’t help but think that is the next round number to cross the line.


charts from : http://www.vixcentral.com/

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LNKD volatility is cheap

Yet another rally on no bad news as stocks love the lack of action overseas.  That was kind of a mouthful.  There is no doubt that the gravity is pulling stocks up overall.  The rally to all-time highs in the face of overseas unrest is just another reason to believe in the rally.  Another reason to believe is the lack of a bid in IV.  The VIX cannot hold a bid for anything even as a near panic hit volatility of Friday morning.  By the end of today it was all forgotten.

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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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Is Russian aid a Trojan horse?

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We all know the story.  Troy is finally sacked by the gift of an enemy-impregnated horse the size of a house.  Browsing through the WSJ online I see an an Orthodox Priest blessing a fleet of aid trucks.  I half think there might be some Spetsnaz Commandos lying in wait in those bad boys.  With the gimpy stock market today I am not the only one.  I am all for Putin giving aid to the hungry but it is still tough to believe.

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Rattling the Sabers

I started trading options as a floor trader in 1991 right about the same time as Gulf War 1.  The runup to the war was characterized by gloom, volatility and really weak stock prices.  I think the Dow was 2300 or so.  Not much has changed in the 24 years since then through several other political crises and GW2.  The one constant has been after the USA goes in and starts shooting, stocks rally and the VIX cracks.  Until today that is, or maybe.

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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)

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