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:
- Andrew Hart of BigTrends.com notes the arrival of the China VIX in Global Volatility Analysis. (I see BigTrends now also has a blog and an article archive that are also worth checking out to see what Price Headley, Moby Waller, Bob Lang and some of Andrew’s other compatriots have to say.)
- Wayne at Sigma Options has an excellent discussion of historical volatility and some of the different approaches to measuring it in Volatility? What Volatilty?
- Adam at Daily Options Report touches on the Friday effect and notes an interesting VXX divergence in VXX Bikini Friday? (Based on some recent correspondence, it looks as I should be ramping up my posts about VXX.)
- Mark at Options for Rookies has some forthright common sense thinking about expectations for options income streams in Using Options to Create a Steady Income Stream.
- At Don Fishback’s Market Update, Don poses – and answers – the question of Why Do People Think That Leveraged Funds and ETFs Should Closely Track the Index Times the Multiplier Over the Long Term?
Finally, thanks to all who commented and wrote about the Bloomberg TV piece. I appreciate all the kind words and support.
4 comments:
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.
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.
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
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.
Post a Comment