Condor Options | Tag Archive

Tag Archive | "momentum"

Volatility Tracker: Hiccup or Hangover?

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…

Mean Reversion after Expiration

Monday, December 1, 2008

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Traders tend to pay a lot of attention to expiration week, and for good reason. There are also some post-expiration phenomena worth noticing: in particular, unsophisticated options sellers often allow their front-month contracts to expire before selling the next series. There’s an apocryphal story about a big SPX condor seller who always used to wait until the Monday morning after expiration to route his single monster trade for the month. But we’ll leave discussion of the disadvantages of that…