Clik here to view.
I’m Way Out on the Ice
Let me get right down to numbers, since there will be a lot of numbers amongst the words. In the last post I detailed a bunch of long calls, and an update on those is overdue. In review: I had...
View ArticleClik here to view.
Option Assignment is Not Always Bad
If anyone remembers (and even if you don’t), back in early September I griped a little about my booked gains/losses for the month of August not showing the premium I received for puts I wrote which...
View ArticleClik here to view.
Closing a Volatility Short + Selling an Inverse Volatility Strangle
Let’s check back on the progress of a trade last mentioned two posts ago. This could be described as one of my favorite games ever, formally called “shorting the ultra-long volatility.” I’ve dabbled...
View ArticleClik here to view.
Put the Short Premium in the Bag
The tale of October happens to be the tale of my friend, “Mr. G,” and what he did to turn $39,727.47 on September 30th into $56,239.25 on October 31st. How’s that for some trick-or-treat plunder? Here...
View ArticleClik here to view.
Keeping My End of the Put Selling Deal
Let’s follow up on a strategy started on August 25th, which is a day that can be labeled by any one of a number of epithets, as it was the day Mr. Market fell off his barstool. Actually, August 24th...
View ArticleClik here to view.
Weekly Review – Volatility Indexes and ETPs – 12/14 – 12/18
Finally, the Fed raised rates. I’m reading Ben Bernanke’s book and it is interesting that this was being debated when he was still the chairman. The equity market loved it and then hated it with the...
View ArticleClik here to view.
Weekly Review – Volatility Indexes and ETPs – 1/4 – 1/8
The S&P 500 experienced the second worst week in performance since 2011. For those with short memories, the worst week came about four months ago in late August. What both these weeks have in...
View ArticleClik here to view.
Weekly Review – Volatility Indexes and ETPs – 2/1 – 2/5
VIX rose last week as did the rest of the volatility indexes that based their levels on S&P 500 Index (SPX) option pricing. Usually in times of panic VXST (9-day volatility) rises above VIX...
View ArticleClik here to view.
VIX Front Month – Second Month Backwardation Streak Ends at 30 – So Now What???
For the first time in 2016 the front month VIX future closed at a discount to the second month. This brings the recent streak of backwardation to an end at 30 days. The table below shows the 10...
View ArticleClik here to view.
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...
View ArticleClik here to view.
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...
View ArticleClik here to view.
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...
View ArticleClik here to view.
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...
View ArticleClik here to view.
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...
View ArticleClik here to view.
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...
View ArticleClik here to view.
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...
View ArticleClik here to view.
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...
View ArticleClik here to view.
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...
View ArticleClik here to view.
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...
View ArticleClik here to view.
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...
View Article
