tag:blogger.com,1999:blog-897456774486153841.post3203153225342797992..comments2024-03-28T06:07:36.391-07:00Comments on VIX and More: Round Number Magnet StrangleBill Lubyhttp://www.blogger.com/profile/01241003017364820134noreply@blogger.comBlogger9125tag:blogger.com,1999:blog-897456774486153841.post-35992268293200790162009-07-15T09:27:54.625-07:002009-07-15T09:27:54.625-07:00Bill, can you explain WTF is going on with vix tod...Bill, can you explain WTF is going on with vix today?! Is it OE shenanigan? I mean from 10AM vix pretty much go up with the market and just stops at 25.. Now the market is shooting back up again, vix simply just dead, not droping at all... weird...Anonymousnoreply@blogger.comtag:blogger.com,1999:blog-897456774486153841.post-90958160163832801182009-07-14T16:03:18.067-07:002009-07-14T16:03:18.067-07:00Thanks Bill for your quick reply.
I'll be payi...Thanks Bill for your quick reply.<br />I'll be paying a close attention to SPX/VIX/VIX:VXN and their RSI(2).<br />FWIW, today we're entering a very important time period with several major turn dates.<br />As I know you're interested in emerging markets, I suggest you read BNP Paribas's Quant Research Note entitled <i><a href="http://bit.ly/ChineseBubble" rel="nofollow">The Chinese Stock Bubble: Watch For "Critical Level Around July 17-27, 2009"</a></i><br /><br />Cheersvovorhttps://www.blogger.com/profile/11093774305160858351noreply@blogger.comtag:blogger.com,1999:blog-897456774486153841.post-79715702523435309202009-07-14T15:48:44.899-07:002009-07-14T15:48:44.899-07:00Thanks for the excellent research, vovor. You may...Thanks for the excellent research, vovor. You may have save me a post.<br /><br />Regarding your questions:<br /><br />1) I have long been a fan of RSI (2), though I was a little bit concerned when it got so much attention last year. I also use RSI (3) and rarely use RSI (4) -- mostly as a matter of habit.<br /><br />2) The INTC earnings report clearly has many of the shorts scrambling to cover after hours. My bias flipped to bullish yesterday, but not aggressively so. I'd like to see how the market reacts to a bunch of other earnings (including JPM, C, BAC +/- GE just this week in the financial space) and the full calendar of economic data releases before I chart a new course with any degree of conviction.<br /><br />The VIX:VXV ratio has a solid track record and is clearly a bearish signal right now, but while the bulls are still gathering momentum, I don't see any reason to bet against them at this juncture.<br /><br />Cheers,<br /><br />-BillBill Lubyhttps://www.blogger.com/profile/01241003017364820134noreply@blogger.comtag:blogger.com,1999:blog-897456774486153841.post-87234146777012446342009-07-14T15:13:32.364-07:002009-07-14T15:13:32.364-07:00Volatility News Flash
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...<b><i>Volatility News Flash</i><br />---------------------------</b><br /><br />There were only 4 previous instances where the VIX:VXV ratio closed below today’s level.<br /><br />All of them happened between May 15 2008 and May 22 2008.<br />The lowest close was seen at 0.8388 on May 22. <br />A local top took place at 1440 SPX on May 19 and closed with its RSI(2) at 96.12 with VIX bottoming 12.11% below its 10-day SMA.<br />SPX then lost 6.8% over the next month and ~16% over the next 57 days.<br /><br />Also, on December 21 2007, VIX:VXV closed at 0.8591. Its RSI(2) was at 0.37. VIX was 16.23% below its 10-day SMA, with its RSI(2) at 3.47.<br />A local top took place two trading days later at 1497 SPX when its RSI(2) was at 95.60.<br />SPX then and lost 15% over the next month.<br /><br />Today:<br />VIX:VXV ends the day at 0.8458 (-3.23%) with its RSI(2) at 2.35<br />VIX ends the day at 25.02 (-4.90%), its lowest close since Lehman went down.<br />It is 11.21% below its 10-day SMA. Its RSI(2) stands at 3.75.<br />SPX closes at 905.85 (+0.53%) with its RSI(2) at 90.21.<br /><br />If you don’t mind, Bill, I have two questions:<br />- are you still a fan of RSI(2) or have you switched to RSI(3)/RSI(4)?<br />- are these numbers going to make your short term bearishness come back faster than a horse pricked by a sea urschin? The question considers the after-hours pop.vovorhttps://www.blogger.com/profile/11093774305160858351noreply@blogger.comtag:blogger.com,1999:blog-897456774486153841.post-35272561401624482842009-07-14T11:14:23.703-07:002009-07-14T11:14:23.703-07:00You're welcome Bill.You're welcome Bill.EyeDochttp://mensnewsdaily.comnoreply@blogger.comtag:blogger.com,1999:blog-897456774486153841.post-31327934486928306352009-07-14T10:49:35.934-07:002009-07-14T10:49:35.934-07:00Thanks for catching the error, EyeDoc. I have rep...Thanks for catching the error, EyeDoc. I have replaced the original graphic with a new one that shows selling the 890 put and the 910 call -- albeit with a couple more hours of time decay off the table.<br /><br />Cheers,<br /><br />-BillBill Lubyhttps://www.blogger.com/profile/01241003017364820134noreply@blogger.comtag:blogger.com,1999:blog-897456774486153841.post-7971998324889425272009-07-14T10:38:10.685-07:002009-07-14T10:38:10.685-07:00Your graphic shows selling the 890 call and the 91...Your graphic shows selling the 890 call and the 910 put.EyeDochttp://mensnewsdaily.comnoreply@blogger.comtag:blogger.com,1999:blog-897456774486153841.post-62668860039375404622009-07-14T09:59:35.855-07:002009-07-14T09:59:35.855-07:00I sold July 90 SPY strangles this morning.....I sold July 90 SPY strangles this morning.....Anonymousnoreply@blogger.comtag:blogger.com,1999:blog-897456774486153841.post-7993078022731119492009-07-14T08:23:40.662-07:002009-07-14T08:23:40.662-07:00As a general rule, I advise rookies options trader...As a general rule, I advise rookies options traders to avoid holding positions into expiration, due to enhanced risk.<br /><br />That said, your idea has merit. If there is indeed any magnetic effect of a round number, then the probability of success changes - making the short premium play significantly better that it appears to be.<br /><br />Jeff Augen's recent book discusses trading on expiration Friday, adding another voice to support your theorem that - under certain conditions - it's attractive to sell premium during expiration week.Mark Wolfingerhttp://blog.mdwoptions.com/noreply@blogger.com