My colleague at Expiring Monthly, Adam Warner, has taken people to task over the last several days for obsessing over the VIX, and especially for misapplying it: OK, what’s wrong with this statement: Look at that…$VIX drops below 20 and pigs fly again. Only reliable indicator that I know of that level. If you answered “everything” you would be correct. But let’s see how far off the reservation someone can go in 140 characters. And again, this is a very sharp mind, albeit…
Sunday, April 25, 2010
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“A smooth sea never made a skilled mariner,” goes the proverb, and we've sailed some rough waters in the relatively brief history of our calendar-spread newsletter. As Jared noted in his review of Condor Options performance for the first quarter of 2010, we've demonstrated time and again that market-neutral strategies can and do work in all kinds of markets. Nevertheless, some environments are more challenging than others, and the measure of a strategy depends as much on how it performs when the going gets tough as when the market hands us an “easy” month...
Tuesday, January 19, 2010
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Volatility Tracker for January 19, 2010 Last week, I noted the very wide spread between short-term realized and implied volatilities. Although the selloff on Friday alleviated conditions slightly, [5] the spread is still large enough that traders inclined to be net sellers of options need not fear occasional daily increases in realized volatility. [6] The smartest trade in equity index options at this point might be to sell the wings and buy the guts on a dollar-neutral basis, delta-hedging as needed:…
Sunday, November 22, 2009
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Volatility Tracker for the week of November 23, 2009 News-making price changes in gold [11] have not been accompanied by any particularly noteworthy behavior in the options market. While it would be wrong to suggest that options in any way “anticipated” the gold rally, it is also fair to say that price action in the underlying has been roughly in line with the expectations given by option prices. Notice that the CBOE’s VIX-style gold volatility index (GVZ) has drifted between 20…
Monday, November 2, 2009
Volatility Tracker for the week of November 1, 2009 Equity markets have been drunk on the wine of federal stimulus for most of this year. While the increased volatility in the latter half of last week could amount to a mere hiccup in the reflation rally, indicators suggest that more participants are concerned about an equity market “hangover” than at any time since the market bottom. The transition to a different market environment may have just occurred, and in the absence…
Tuesday, May 4, 2010
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