May 26, 2015
Volatility Review: Looks like the market started taking the
weekend out on Thursday, and never looked back.
- VIX Cash: Low: 12.09, High: 13.27
- S&P 30-Day realized: 10, S&P 60-Day realized: 11 VVIX:
74.50 - on the lower end of its recent range.
- Skew Index: 121.11 - also on the low end of recent range.
- Put vs SPX White Paper: A Leveraged Portfolio Management
Approach Applying The CBOE S&P 500 PutWrite Index.
- VIX Options: A strong volume week. 945K Contracts on Monday,
750k Tuesday, 700k Wednesday and only 350k Thursday.
- VIX Up / VIX Down: Despite our doubts last week, the product is
doing heavy volume.
- Question from IVDaily - Please explain the VXUP and VXDN
products to me. I am very confused. What am I getting if I buy this
thing? Its not really spot VIX that I am getting, but the actual
percentage move in the spot VIX, correct? What does this paired
contract thing mean? Do I have to wait for someone to sell VXUP
before I can buy the VXDN and vice versa? Shed some more light into
the darkness please guys.
Volatility Voicemail: Listener questions and comments
- Question from Gerry Engle - Hola fellows. Like the programs
especially Option Block and Volatility Views. I noticed you guys do
not talk much about technicals. The few times you have mentioned
them you seem to take a dim view of them. Why is that? Are there no
technicals that you feel are useful for options traders to pay
attention to? What about volatility technicals?
- Question from Ibrahim Hawash: Hi Mark. This is Contrails again,
after several months away from options I forayed into Forex my
original trading stumping ground smile emoticon I learned a lot
about price action support and resistance, trend lines, pivots
etc... I am looking now into options for position trading. I am so
comfortable doing directional trades, bullish and bearish
speculation and not yet into vol trading. My question is if I find
a stock sitting on strong support and at a very low IV% (MU and PG
is what I am looking at) along with confirming buying volume would
you buy a OTM or ITM calls? I have a feeling you will say why not
sell puts smile emoticon but let’s stick with calls for now given
my account restriction. Is there a golden rule on choosing ITM vs
OTM in this situation? I read that only buy ITM calls because OTM
expire worthless as in hear.
- Also my understanding that when IV% is very low you would not
buy call vertical spread and choose to buy calls, is this correct?
I also have a question, do leap options IV increase at earning
times along with shorter expiration options? One more thing, forgot
to ask that I am looking to buy calls expiring in 2-3 months and I
am looking at daily candle stick charts.
Crystal Ball: Reckless prognostication. Will there be a Tuesday