Stanley Druckenmiller, illustrious hedge fund manager, earlier this year referred to the U.S. interest rate as “the most important price in the most important economy in the world.” Ahead of the monthly payrolls report today, …
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VIX spot is basically unchanged compared to last week, but VIX futures continued lower. Last week’s weekly range in the SPX was between 1672 and 1693, and this week’s range was between 1676 and 1699. …
Continue readingThe VIX dropped to a 2 month low yesterday. The 6 year low seen in mid-March (11.05) is only a bit more than a point away. This low volatility environment has been reflected in both …
Continue readingVery tight range for the SPX index this week, about 21 points between the low and the high (compare that to an average weekly range of almost 50 points over the past 2 months). We …
Continue readingAs we await Bernanke’s Congressional testimony today, I wanted to highlight the interesting divergence between bonds and stocks in the past 2 months. First off, let me start with the caveat that correlations in financial …
Continue readingOn the lowest volume day in the SPY since May 6th, most option volume was concentrated in ETFs. GDX – Large buyer of the GDX Aug 24 puts, paying 1.25 average price for over 110k throughout …
Continue readingThe rally over the last 3 weeks has been accompanied by a move in VIX spot back below 14 for the first time since May. Not surprisingly, with that large move lower in the VIX, …
Continue readingStill a macro driven market as the majority of options trading taking place in SPY, VIX, and other ETFs. SPY – Stock volumes were lower than average, but option volumes were above the 1 month average. …
Continue readingOver the last month, while underlying volatility has been quite elevated, the SPX index has hardly moved in that time. Today’s market rally has VIX spot back down near the lows of the past month …
Continue readingOver the last 4 Wednesdays, here was the closing level of the SPX index vs. the current level: 06/05/13: 1608.90 06/12/13: 1612.52 06/19/13: 1628.93 06/26/13: 1606 Incredibly, as much as it feels like the market …
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