Condor Options

Sure, there was some rallying this week. But the more important news (to us) is the volatility crush. Remember that day, way back when the VIX was sporting a 31 handle? No, I’m not talking about those sweaty days of August – I mean November 12.  Fast forward to the end of the month, and we have the following major index volatility readings:

VIX (SPX): 22.87

VXN (NDX): 28.65

RVX (Russell2k): 29.61

And the VXV, the 3-month version of the VIX, is at 23.93.  Note that the VXV is only 16% off its recent high, while the VIX has fallen 26%.   That’s to be expected, given the longer view of the former index.

Oh, about that chart: just wanted to point out that the implied volatility on SPX just dipped under the 30 day historical volatility.  What does that mean? Nothing, necessarily.  Sometimes the IV functions as a leading indicator; but sometimes the IV and HV can diverge and stay away from each other for awhile, like we saw back in March/April.  Let’s not hope for the latter scenario, because it’s no fun trading a market that is volatile in actuality but isn’t registered as (or implied as) being volatile in the options: that’s like getting all the risk and all the worry, and none of the reward.

[tags] VIX, VXN, RVX, VXV, volatility, SPX, options[/tags]