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The SPX has seen unusually high activity in the December 2010 1075 puts over the past two days. Yesterday near the close of the trading day, 18,000 contracts were lifted in these puts. Today another 16,000 are on the tape with over 200 million in premium spent, buying about 20 million [...]
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The popular CBOE SPX Volatility Index (VIX 22.93% -0.43) is down again today on the market’s move higher. We have warned and attempted to inform our customers about some of the risks and unique characteristics of the VIX in prior blog entries. Here is one more.
Each day, the VIX derives its value from [...]
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The CBOE SPX Volatility Index (VIX) is now below 22.5%, reflecting the downward-sloping volatility skew curve. As the market goes higher, those upside S&P 500 Index (SPX) calls that had lower implied volatility valuations are a larger piece of the volatility matrix in the calculation of the VIX.
My source in the SPX pit is [...]
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The results were not pretty just 90 minutes after the market opening this morning. The market seems to be replaying the 1st of September with more than a 1.5% decline in the S&P 500 index and a 2% decline in the technology NDX index.
The ISM (Institute for Supply Management) manufacturing index declined 0.3 percentage points [...]
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My source in the SPX pit is highlighting several large trades hitting the pit. Specifically, the September 1000 straddle is being sold at 38 dollars 8000 times.
This may be an attempt to capture some time-decay as the implied levels in the SPX have increased as we head into the 3-day Labor Day [...]
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My source in the S&P 500 Index (SPX) trading pit has shown me a big buyer of the December 1,000-strike puts early in the session, which set a new tone that traders were coming in on the buy side of put trading. The recent trading pattern during the summer rally has been a [...]
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