Condor Options

The chart above plots the historical volatility of the closing prices of the S&P 500 (SPX) over the past 10, 30, 60, and 90 days.  The 10 day line probably corresponds most closely to what most traders feel about how the market has acted.  Notice that the 90 day reading has just drifted at around 60% since early December – it will take some time for the extreme moves from last year to be “worked off” as the rolling window moves forward and those older prices drop off.  The other two levels (30 day, 60 day) confirm that price volatility has generally been drifting lower in early 2009, although keep in mind that a SPX 30 day historical volatility above 30% is, from the standpoint of history, still quite remarkable (see below – click to expand).