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The CBOE Market Volatility Index (VIX) cracked below 20% volatility last week, although the decline to below this psychological measure may be due more to the mechanics of how the VIX is calculated rather than an actual reduction in the market’s concern about future stock movement.
The VIX cash index attempts to calculate the 30-day implied [...]
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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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How do we tell if this morning’s bounce is more than a Dead Cat Bounce?
Often times after the market experiences a sudden out-sized drop like Friday’s frightful 250-point drop in the Dow, the next trading day the market bounces back. This happens almost in a knee-jerk response since many traders figure stocks are on sale.
This [...]
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Many investors trade long calendar spreads as part of their arsenal of option trading strategies. A calendar option spread is created by the simultaneous buying of a call or put in a longer maturity (expiration date), and selling the same strike call or put, in a shorter dated expiration month, e.g. [...]
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The VIX (VIX 20.33%) is hitting new lows as we are in the teeth of the earnings season. The measure of 30-day implied volatility derived from the options on the SPX is threatening to tick below 20% for the first time since August 2008.
At first glance this seems counter intuitive; earnings are [...]
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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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Are we having earnings déjà vu all over again?
Let’s review:
Last quarter the market hit a hiccup in the end of June, sold off from a June-closing high of 944 in the S&P 500 index, down to 880 as we entered Q2 earnings.
This quarter the market has retraced from a high of 1071 [...]
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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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With August almost in the books I believe it is worthwhile to look at some specific sectors and stocks relative to the major market averages.
For a reference point the SPX index started the year at a level of 903.25. So with today’s close at 1028.93 the overall market is up almost 14%. It is more [...]
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