Condor Options

We are publishing a new weekly research note, Volatility Tracker, which is intended to offer an overview of changes in realized and implied volatility in relevant markets:

Volatility Tracker for March 28, 2009

Many of the charts included will be familiar to readers of this blog, and we plan to expand the scope beyond the S&P 500 in the coming weeks.  We are sincerely interested in ideas you may have for new items to include in the report.  Our opening comment is below.

The VIX appears to be moving within a range of about 40-50 (2) as markets have stabilized for now, although of course a VIX at 50 could easily coincide with a steep market reversal downward or a continued volatile climb higher. Smallcaps outperformed slightly this week, although the Russell 2000 volatility index ($RVX) declined the least of any of any of its peers (3). The IV/RV Ratio (5) has moved to the low end of its normal range, indicating that over the last 30 days options have been fairly priced or even cheap. The VIX futures term structure (6) flattened considerably this week, which is consistent with the market rally. We are watching the VIX Premium Ratio (7) closely, as a continued move higher should coincide with a flat-to-down directional bias in the underlying market.

Short-term Volatility Bias: Positive

Note: the document is in PDF format.  You may download a free reader at http://www.adobe.com/.