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The Iceman Selleth
Sometimes it’s worth letting something simmer on the stove a while to get impressive results, or in this case it’s more like letting something ferment in earthenware pots buried in a forgotten...
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Weekend Review – Volatility Indexes and ETPs – 2/29 – 3/4
The S&P 500 rose about 2.7% last week and shorter term volatility took it on the chin with VXST and VIX both down over 14%. The longer dated volatility indexes were lower as well, but as show...
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Weekend Review – Volatility Indexes and ETPs 3/7 – 3/11
Three out of the four S&P 500 based volatility indexes dropped last week with the longer term focused VXMT rising slightly. I went on a data fishing expedition with respect to weeks where VXMT and...
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Weekend Review – Volatility Indexes and ETPs – 3/14 – 3/18
I’m honestly surprised and admitting that I have been very wrong in trying to guess at the VIX action lately. I never would have expected a 13 handle for VIX, but low and behold that’s what we got on...
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Weekend Review – Volatility Indexes and ETPs – 3/21 – 3/24
The S&P 500 was slightly lower last week, ruining a five week winning streak. This gave three of the four volatility indexes on the chart below a chance to rebound from 2016 lows. The exception...
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Weekend Review – Volatility Indexes and ETPs – 3/28 – 4/1
Don’t fight the Fed. That’s a rule we must all live by and long volatility is a fight that isn’t winning these days. Note the drop in the week over week curves below and keep in mind that on March 24th...
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Weekend Review – Volatility Indexes and ETPs – 4/4 – 4/8
The S&P 500 lost a little over 1.2% last week, but the impact on volatility indexes was more than one would expect from loss like that for the S&P 500. Most significant to me was that both the...
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Weekend Review – Volatility Indexes and ETPs – 4/18 – 4/22
Very quiet weeks, like last week, usually result in a slight shift lower in the VXST – VIX – VXV – VXMT curve. Contango persists and it worked its magic on SVXY, VXX, and UVXY last week. SVXY had a...
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Weekend Review – Volatility Indexes and ETPs – 4/25 – 4/29
The weakness in the S&P 500 last week, although not really dramatic, did result in pretty big moves out of the four S&P 500 related volatility indexes. They were coming off pretty low levels...
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Weekend Review – Volatility Indexes and ETPs – 5/2 – 5/6
The S&P 500 was down 0.44% last week which places the index up only 0.65% for the year. Three out of the four S&P 500 focused volatility indexes were also lower last week, despite the drop in...
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A Walk Through the Maze
Let’s detail a story of the last two weeks, in which I stumbled through a maze in search of the reward at the other end. I’ve made some wrong turns and backtracked a few times, but I think I smell the...
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Weekend Review – Volatility Indexes and ETPs – 5/9 – 5/13
There was a slight twist in the VXST – VIX – VXV – VXMT curve last week as the shorter dated indexes rose and the two long dated indexes dropped slightly. Although unusual, I am not reading too much...
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Rinse and Repeat
At my last writing on Monday, May 9th, my position was ten short SVXY puts for the March 13th expiration at the 54 strike, sold at $1.40 per contract, or $1,385.20 received. My choices in disposing of...
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Weekend Review – Volatility Indexes and ETPs – 5/16 – 5/20
With the S&P 500 zig zagging this week, but finishing up by just over a quarter of one percent the curve was little changed. With one exception, VXST dropped 10% after we got past the FOMC minutes...
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Weekend Review – Volatility Indexes and ETPs – 5/23 – 5/27
The S&P 500 rally along with the three-day weekend effect pushed VXST to finish Friday below 10.00 for the first time since July of last year. The VXST – VIX – VXV – VXMT curve moved lower and...
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Weekend Review – Volatility Indexes and ETPs – 5/31 – 6/3
The whole curve shifted a bit higher last week. We have to attribute the rise to the three-day weekend effect. At least in the case of VXST and VIX. Typically, VXV and VXMT are not impacted as much as...
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Plans are Meant for Re-Planning
At my last writing on Tuesday, May 17th, I had just sold to open SVXY 55.50 puts for the May 20th expiration at 1.45 per contract. My pledge was to stick to my plan and that’s what I did: I let those...
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Weekend Review – Volatility Indexes and ETPs – 6/6 – 6/10
Last week VIX rose every day which isn’t all that unusual. What was ground breaking was that VIX rose each of the first three days last week despite the S&P 500 moving up as well. I decided to...
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Weekend Review – Volatility Indexes and ETPs – 6/13 – 6/17
The VXST – VIX – VXV – VXMT curve moved from contango to an unusual shape this past week. Lots of things point to the markets being concerned about next week’s ‘should I stay or should I go’ vote in...
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Taking Apples from Somewhere Near the Top of the Tree
The best way to tell a story (well, maybe not always) is to tell it in the order in which it happened. In this case, I’ll start where I left off, and that means to describe the mystery position I took...
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Weekend Review – Volatility Indexes and ETPs – 6/20 – 6/24
Global stocks took it on the chin Friday after the outcome for the vote in Britain determined that the majority of voters want to break from the European Union. Usually I show the week over week change...
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Weekend Review – Volatility Indexes and ETPs – 6/24 – 7/1
In hindsight volatility definitely overshot to the upside in response to Brexit and the price action on Monday where VIX and the S&P 500 both moved lower together was a sign of things to come last...
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Profiting from the Side Dishes
If it sounded like I had a little trick up my sleeve upon hastily closing my last post with a promise of quick and interesting updates, here’s a confession: Yes, one typing hand closed the post while...
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Weekend Review – Volatility Indexes and ETPs – 7/5/2016 – 7/8/2016
I was participating in the Vol Views podcast Friday around lunch time and decided to take a look at the whole suite of volatility indexes and see if anything was higher. None of the 29 volatility...
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Baseball, hot dogs, apple pie, and…VIX shortcake
If you can’t wear shorts in the summer, when can you? At the time of my last writing, I was showing off a pair: TVIX and UVXY, which everyone knows are really just two legs of the same thing (for my...
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Weekend Review – Volatility Indexes and ETPs – 7/11 – 7/15
Short term volatility was the big loser among the four S&P 500 related volatility indexes as VXST lost over 10% last week. This was more than two times the drop in VIX and more than three times...
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The Clean-Plate Club
Little did I know how soon I’d be back to report on the status of the last line of my most recent post – specifically my declared hope/dream to be rid of the SVXY that became like a pebble in my shoe....
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Weekend Review – Volatility Indexes and ETPs – 7/18/2016 – 7/22/2016
VIX was the biggest mover among the four S&P 500 related volatility indexes this past week. VIX dropped more than 5% while VXST lost 0.39% and VXV was down 1.19%. Longer dated volatility actually...
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Weekend Review – Volatility Indexes and ETPs – 7/25 – 7/29
It was as quiet a week as I can remember with respect to the S&P 500 focused volatility indexes. An quieter and the lines below would look like a single line. The long ETPs really suffered last...
View ArticleCBOE Options Institute Class to Focus on VIX and Volatility
The CBOE Options Institute is hosting the first in a series of classes that will focus on different aspects of option and volatility trading. The first class, appropriately named Focus on VIX and...
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Weekend Review – Volatility Indexes and ETPs – 8/1 – 8/5
When S&P 500 implied volatility is already low there’s not much room for a further drop. That was the case going into this past week and as seen below with the S&P 500 climbing all four of the...
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Weekend Review – Volatility Indexes and ETPs – 8/8 – 8/12
I considered skipping the first chart in this blog since the four S&P 500 related volatility indexes were hardly changed last week. The only thing to note here is that the shorter dated end did...
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Weekend Review – Volatility Indexes and ETPs – 8/15 – 8/19
For the second week in a row the S&P 500 Index related volatility indexes hardly budged. Three out of four were lower with the longest dated, VXMT, up slightly on the week. We’ve ranted and raved...
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Happy VIX-entines Day
The funniest part of my last post was the quote from my last sentence, “…VIX, which I doubt will stay the same every minute from here on out…” because it has basically stayed right where it was at the...
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Weekend Review – Volatility Indexes and ETPs – 8/22 – 8/26
The short end of the VXST – VIX – VXV – VXMT curve rose last week as volatility moved higher in reaction to comments coming from the annual get together in Jackson Hole. The result is a bit less...
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See a Profit, Pick it Up
She sells short shares down by the SVXY shore… Or something like that goes the nursery rhyme. But does she buy calls to go with those shares? Probably not. Here’s why I did it: I wanted a chance to...
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Weekend Review – Volatility Indexes and ETPs – 9/5 – 9/9
VXST more than doubled as a function of the index being depressed in front of the three-day weekend and then in reaction to Friday’s SPX sell off. As would be expected, the rest of the...
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Back to VIX Specials
Summer didn’t draw to a close without telling us it was doing so. If any VIX-watchers were sleeping, they’re awake now. Most of the summer seemed flat and long as a football field, and while that...
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Weekend Review – Volatility Indexes and ETPs – 9/12 – 9/16
After a lot of zigging and zagging VIX and the other S&P 500 related volatility indexes finished lower on a week over week basis. The curve depicting the relationship among VXST, VIX, VXV, and...
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Weekend Review – Volatility Indexes and ETPs – 9/19 – 9/23
Janet Yellen spoke and volatility dropped. I wonder if she’s the kind of guest that shows up and ruins parties like she dampens any moves in S&P 500 volatility. The table below has a ton of red,...
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Weekend Review – Volatility Indexes and ETPs – 9/26 – 9/30
The VXST – VIX – VXV – VXMT Curve is a consistent way to look at different S&P 500 Option Implied Volatility time frames. All four indexes moved up a bit last week, with the curve shape...
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Weekend Review – Volatility Indexes and ETPs – 10/3 – 10/7
The VXST – VIX – VXV – VXMT changed a little last week with the wings (VXST & VXMT) losing a little value and the middle section (VIX & VXV) rising slightly. I find the drop on Friday in VXST...
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Weekend Review – Volatility Indexes and ETPs – 10/10 – 10/14
On a percentage basis VIX was the big winner among the four S&P 500 related volatility indexes. VIX gained just over 19% while VXST was up about 13%. The longer end of the curve is often less...
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Weekend Review – Volatility Indexes and ETPs – 10/17 – 10/21
In a bear market we refer to market bounces as ‘relief rallies’. The drop in volatility last week may be attributed to some sort of relief, whether with respect to expectations around the coming...
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Weekend Review – Volatility Indexes and ETPs – 10/24 – 10/28
As a good number, but not all (some of us are White Sox fans) of the traders on the floor at CBOE were starting to think about where they were going to be that evening to watch Game 3 of the World...
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Weekend Review – Volatility Indexes and ETPs – 11/14 – 11/18
The short end of the VXST – VIX – VXV – VXMT curve took it on the chin as the holiday effect took a toll on VXST. We may see a bit of a rise in VXST relative to the rest of the SPX oriented indexes as...
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Weekend Review – Volatility Indexes and ETPs – 12/5 – 12/9
With the continuation of the election related equity market rally comes even lower SPX option implied volatility. The curve shifted lower across the board, but do note the angle steepens a bit between...
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Weekend Review Volatility Indexes and ETPs 12/12 – 12/16
I always lead off this blog with a chart showing the week over week change in the four volatility indexes based on S&P 500 Index (SPX) option pricing. Just for the heck of it I took a look at what...
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Weekend Review of Volatility Indexes and ETPs – 1/3 – 1/6
S&P 500 implied volatility was lower across all four time periods that are measured by CBOE Volatility Indexes last week. VXST finished the week at 9.19 which is actually a tad higher than the low...
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Weekend Review of Volatility Indexes and ETPs – 1/9 – 1/13
There are two lines below although it may appear that there is only a purple line for parts of the VXST – VIX – VXV – VXMT curve. In a round about way I’m saying not a lot happened in the world of...
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