While the market waited for NFP numbers to come out on Friday, the Fed declared the subzero temperatures was a drag on the economy. Unless you were selling de-icer or coffee during February, they were probably right. A little milestone kicked in today, in case you were not watching; FB closed at an all-time record [...]
Normally, when the VIX begins to enter a new level, the Futures don’t ‘buy’ into the move. This causes the VIX to either be overly backward for periods of time, at levels the VIX would not be backward in, or alternatively, to have an extra steep contango when IV is clearly dropping. We saw something [...]
Every so often, typically a few weeks after AAPL earnings, traders go a little overboard in selling AAPL option premium. Well, it’s been a few weeks since AAPL earnings, and traders have sold AAPL IV (Implied Volatility) down to stupid cheap levels…again. Take a look at a chart of VXAPL (the VIX of AAPL).
In the last 3 days, the market has rallied about 30.00 dollars in the SPX. Knowing that, traders would expect the VIX to have gotten completely pasted as traders dumped volatility. Take a look at how S&P has moved and how VIX has moved. Livevol (R) www.livevol.com When the S&P moves up, one of the [...]
The ISM report was not great today. On the brightside, bad news is bad news again. Should stocks be at an all-time high with weak economic numbers? The answer is probably not. The steady exit from the emerging markets is continuing apace with investors leaving at a good clip. As far as I can tell, [...]
The SPX tanked today. This was big news everywhere…or was it? Ask anyone in the Pit of the SPX and they will likely tell a different story. One where put options were offered all day. One where panic never really occurred and the sell off wasn’t just orderly, but almost appeared organized. Basically, there was [...]
One reason I am sad I couldn’t got to the CBOE Risk Mgmt Conference is because I missed some amazing announcements and panels. In particular, I think the real headline announcement was the announcement of the short term VIX index or VXST. VXST is going use similar calculations to the VIX but will have 9 [...]