Over 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 …
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Over 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 …
Continue readingInteresting move in VIX spot and VIX futures over the last few hours. The VIX had remained elevated this week despite the SPX index advance because of the Fed event today, but we saw VIX …
Continue readingVIX Futures are slightly higher vs. last Friday, after vol quickly compressed on the market rally. But compared to last Wednesday, our last VIX Futures post, the VIX is actually a bit lower. This week …
Continue readingVolatile intraday action, and options volumes were dominated by macro trades. VWO – Huge roll of the VWO Jun 42 puts out to the Jul 40 puts, selling 160k of the Jun to buy 235k of …
Continue readingVIX Futures are all up between 0.50 and 1 point over the past week as volatility picks up and we have cleanly broken a couple short-term support levels. Here is last week’s snapshot: VIX Futures …
Continue readingThe first week of any month has the most busy economic data calendar, as it usually includes the ISM Manufacturing, ISM Non-Manufacturing, and Non-farm Payrolls Reports. But this week’s economic data is especially crucial. Bernanke’s …
Continue readingEEM – options were extremely active today topping the most actives list with the largest trade being the sale of 111k of the March 43 Puts at .06 to close, vs buying 215k of the …
Continue readingXLF – as Dan mentioned yesterday in “Quick Hits”, there were large buyers of the March 18.50 and 19 calls. Today a block of 40K Apr 18 calls traded. Over 98K have traded on the …
Continue readingThis week’s move in the VIX is certainly historic. As Bill Luby wrote at his VIX and More blog yesterday, it was the 11th largest one day VIX spike in the history of the VIX …
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