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As we wind into Thanksgiving the liquidity providers have done a good job of squeezing out the holiday premium. Nov 27 volatility in the SPY, from LiveVol Sigma, is a round 9.43 and will be lucky to hold the 9 handle as Thursday approaches. Why? Well the only easy to get the time premium out of the options is roll the days forward. That will read as lower IV today.
Kind of an ugly day in the market or make that an ugly week for the longs. For the first time in a while I am seeing the move up in VIX outpace the drop in stocks. Yeah we had a 1% move but 20 VIX seems like there is something to worry about. The two biggies are rates and oil. Let’s talk the oil producers.
XOP is up on the day on a down day for oil and stocks in general. Granted the ETF has been hit with the ugly stick but even AMZN is down today. The craptastic names should be doing worse. Lo and behold take a look at the volume in COG.
VIX put in a new low yesterday and seems like it wants to get back there.
Yet we have another FOMC announcement with the Fed choosing to do nothing. I don’t know how far the economy has to grow before rates start to normalize but we have to be getting close now. We had the 90’s and a government surplus and higher rates and no one was complaining. Once again post-meeting the VIX dropped even with near sure 25 basis point rises in 2015 mapped out.