Condor Options

Volatility Tracker for April 20, 2009

Equity indexes eked out some more gains this week, and volatility continued to decline. Perhaps because it fell so sharply in prior weeks, implied volatility in the Russell 2000 declined the least of its peers. [2] We no longer regard S&P 500 options as “cheap” [5], and the hump-shaped slope of all three volatility futures curves suggests traders are looking for an increase in volatility over the near term. [6] The VIX Premium Ratio has continued to rise [7], and at this level we recommend taking profits on short-term long positions and increasing hedges against downside price movement. We are also watching for an increase in the price and realized volatility of gold. [7][10]

Short-term S&P 500 Volatility Bias: Positive

If it moves, we will track it.