Friday, August 7, 2009

Around the Horn: VIX, Volatility and Options

Just a quick note as we head into the last hour of trading to highlight several interesting new posts in the world of the VIX, volatility and options:

Finally, thanks to all who commented and wrote about the Bloomberg TV piece. I appreciate all the kind words and support.

4 comments:

Password said...

Hi Bill

Password from VF here. Good job on the Bloomberg mention. I think i once heard your site mentioned on BNN too.

Hope the puts aren't hurting too much. I have been watching for a turn to enter shorts/puts too, however I have been burnt too many times in the past and so am waiting for a clear turn.

I did buy some VIX calls which are down about 20%. May buy more if we get to 20-22.

Douglas said...

Hi Bill

Thanks for this. Thought this might be an appropriate blog post of yours to mention my new blog in which I hope to cover some of the VIX territory.

I don't know whether I will continue with my blog and make something of it or not..

However, I have started off with a look at how the 'Elasticity of the VXO' v the S&P 500 has changed over the last few days.

www.vvandymodels.wordpress.com

Hope it's ok to mention it here.

Bill Luby said...

Hi Password,

Thanks for the comments. The puts have been a disaster so far and a reminder why I usually don't use options to speculate about a directional change until there is more evidence of a reversal.

I do think VIX calls have a fair amount of upside, but I have not gone in this direction yet.

Douglas,

Thanks for letting me know about your site. I took a look and like what I see so far.

Good luck!

-Bill

Douglas said...

Thanks Bill. I have now added a table from one of my volume models. This is because we have seen a bit of an increase in volume since early July. I have a table that shows the behaviour of volume following lows since 1962.

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