http://www.ibankcoin.com/adamblog Stock Options, VIX, Volatility Index, CBOE, Put/Call Ratio Wed, 19 Nov 2008 12:59:20 +0000 http://backend.userland.com/rss092 en It's no secret volatility has sat at extraordinary levels for quite some time now. But is this unique? Not quite yet, according a recent presentation from the man that invented the VIX, Robert Whaley, now a professor at Vanderbilt. An important way of judging market anxiety is to examine the persistence ... http://www.ibankcoin.com/adamblog/index.php/2008/11/19/extendo-vix/ Hey, if you like your volatility for the longer term, and you think it's about 1930 right now on the Crash Clock, you may be in luck. MarketSci Blog looks at some charts, and sees this (hat tip Abnormal). A few non-surprises here. (1) Volatility from 2004 through most of 2007 was ... http://www.ibankcoin.com/adamblog/index.php/2008/11/17/volatility-here-to-stay/ So, remember that urban legend that states As Goes the Market The Thursday Before Expiration, so it goes in reverse into the actual Expiration? Well, we had a big up day yesterday, which surely means we will get plowed from here on in. At least that's what our forefathers told us. But ... http://www.ibankcoin.com/adamblog/index.php/2008/11/14/myth-buster/ CXO Advisory studies the relationship between the VIX and future stock market returns. Experts and pundits often cite a very high (low) Chicago Board Options Exchange (CBOE) Volatility Index (VIX) as an indication of investor panic (complacency), and therefore of a pending U.S. stock market advance (decline). Is this conventional wisdom ... http://www.ibankcoin.com/adamblog/index.php/2008/11/13/vixed-out/ So it seems like only yesterday they were manipulating the SPX options to gin up the VIX settlement price for October. Well guess what, we're only a week until November expiration. As I discovered recently, there's reason behind the seeming randomness of the VIX options expiration; it's 30 days ahead of ... http://www.ibankcoin.com/adamblog/index.php/2008/11/12/veterans-day-vix-blahs/ If only I could leverage the market, TO THE EXTREME!!!!!! Oh wait, I can now. Hat tip Abnormal Returns. Market-timers rejoice! Today, Boston-based Direxion officially launched the first group of exchange-traded funds that offer triple leverage, or 300% exposure to market indexes to make bullish or bearish bets. With excessive financial leverage ... http://www.ibankcoin.com/adamblog/index.php/2008/11/07/tripling-out/ So another reason why I would recommend using VIX options with caution? You have to price volatility of volatility. Yes, the VIX itself is an index of volatility. An option on the VIX prices based on the market estimate for the volatility of that volatility estimate. Confused? Ypu won't be after this ... http://www.ibankcoin.com/adamblog/index.php/2008/11/06/a-derivative-of-a-derivative-is/ So just to consolidate some VIX-y points. Realized volatility in the market continues to abate, though not as much as meets the eye as a 3-4% range is still a 3-4% range, be it up or down. The intraday swings are less violent however, and provide way less flipping opportunity. So ... http://www.ibankcoin.com/adamblog/index.php/2008/11/05/and-then-malaise-set-in/ Well, pretty clear the Volatility Explosion of 2008 has hit all asset classes. But not in the same way. The graph's here show USO 30 Day numbers up top, and 10 Day HV down below. And notice something different from, say, the indices? Anyone? Anyone? Buehler? OK, here's the answer. USO options volatility, the ... http://www.ibankcoin.com/adamblog/index.php/2008/10/28/back-on-the-uso-tour-2/ Heard some self congrats on the NYSE Friday for..........stepping in and keeping the market afloat. Or something like that. Remember as we got reminded 5000 times by 9:30 AM, the futures were down lock limit. We were sunk! That is, until the NYSE specialists, actual human beings and not machines ... http://www.ibankcoin.com/adamblog/index.php/2008/10/27/spy-games/