volatility

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

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

Is There Any Zing in Zynga?

Posted by atg on Thu, 01/12/2012 - 7:50pm
Is there any zing in Zynga?  As a veteran of the first internet bubble (some scars but whole for the most part), internet bubble round two is mostly Internet Bubble Lite.  Linkedin, Groupon, etc. have made for some fantastic IPO’s for the founders and employees, and they generated some hefty valuations.  It does feel like investors are smarter the second time around.  The same low float IPO’s for sure, but these businesses are much farther along than the internet stocks of 1996.  Take a look at ZNGA for instance.

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.

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  

WAG Setting Up for a Break Out

Posted by msebastian on Thu, 12/15/2011 - 5:52pm
While I usually stick to large themes like VIX and SPX today I wanted to point toward something interesting going on in Walgreens options.

Option Pit Trader Featured on CNBC

Posted by msebastian on Wed, 12/07/2011 - 7:29pm
Today on CNBC's the Closing Bell Option Pit Professional Trader's Club member Marcus Felker was featured in a piece on trading volatility