Condor Options

Volatility Tracker for May 17, 2009

Last week, I noted the absence of the Nasdaq 100 among rallying indexes as a sign that the bull run was likely over. Price action this week confirmed that view, as the only component to eke out any gains was gold. [2] While SPX options can no longer be considered particularly cheap, [5] I also see no reason to anticipate a dramatic rise in either realized or implied volatility over the coming weeks.  Volatility futures flattened out [6], and the VIX premium ratio isn’t providing any signal [7].

The volatility of gold continues to decline on both an implied and realized basis. [8,9] The decline in realized vol has been greater than was anticipated by the implied index (GVZ) 21 trading days ago. [10]

Short-term S&P 500 Volatility Bias: Neutral