tag:blogger.com,1999:blog-897456774486153841.post2193582348609455321..comments2024-03-25T09:22:22.004-07:00Comments on VIX and More: Volatility Analysis for July 15, 2009Bill Lubyhttp://www.blogger.com/profile/01241003017364820134noreply@blogger.comBlogger4125tag:blogger.com,1999:blog-897456774486153841.post-12977509310153756282009-07-17T08:31:34.919-07:002009-07-17T08:31:34.919-07:00There is an article in the WSJ today about this in...There is an article in the WSJ today about this in the money&investments section and I wonder whether the writer got the feedback from you..<br />I love your website, keep up the great work..Anonymousnoreply@blogger.comtag:blogger.com,1999:blog-897456774486153841.post-62819787474741556672009-07-16T08:13:14.590-07:002009-07-16T08:13:14.590-07:00Bill
Thanks for the reference back to your previo...Bill<br /><br />Thanks for the reference back to your previous post on VIX and market up days. I read it again including my own comments below it. I wish I was better at remembering my own previous analysis. :-)<br /><br />I think the thing that I noticed then was the a day with both implied volatility and the market going up together (by a lot) tended to be on days when the RSI(2) on the daily S&P 500 was >90... Something like that has happened again.<br /><br />This may not be unrelated to why it is a little bit bearish in the short term - some bulls are scared of heights?<br /><br />Douglas<br />PS I have not forgotten (though you may have) about what we said about a potential study on volume that I have in mind. I just have not got round to doing it yet - but it is on my 'to do' list.Douglasnoreply@blogger.comtag:blogger.com,1999:blog-897456774486153841.post-69102110304317751562009-07-16T07:01:35.437-07:002009-07-16T07:01:35.437-07:00Hi Tony,
Both of the data links you provided were...Hi Tony,<br /><br />Both of the data links you provided were to the 7/9 data, but if the skew data for yesterday vs. a week ago is as you described, I would agree with your conclusion that the increase in the skew was due to long put protection and not short call protection.<br /><br />Cheers,<br /><br />-BillBill Lubyhttps://www.blogger.com/profile/01241003017364820134noreply@blogger.comtag:blogger.com,1999:blog-897456774486153841.post-59178452983533080372009-07-16T00:16:41.176-07:002009-07-16T00:16:41.176-07:00I show July 9th VIX put Skew 17%-
http://tinyurl....I show July 9th VIX put Skew 17%-<br /><br />http://tinyurl.com/n694wv<br /><br />Today 7/9 I show VIX put skew at 27%- <br /><br />http://tinyurl.com/n694wv<br /><br />So if I am looking at this right the increase in Skew in put options today is for protection not as Najarian said today on CNBC Short sellers buying calls for hedge( why no cover- you mean new money came in to market and Shorts held on?)Buying calls doe snot create such a skew it is always the puts that are bid up as put volume has increased considerably as well.Tony Leonenoreply@blogger.com