Tuesday, August 30, 2011

Economic Data Not Supporting Gloom and Doom Forecasts – At Least for Now

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For over a year I have been examining how economic data in the United States has been faring relative to expectations and have been posting ...
Thursday, August 18, 2011

Echo Volatility and Another VIX Double Top

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Back in 2007, I wrote extensively about the phenomenon I dubbed echo volatility , in which large VIX spikes are frequently accompanied by a...
Friday, August 12, 2011

The Convergence of VIX and VIX Futures at Expiration

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VIX futures and options expire 30 days prior to the expiration of options in the S&P 500 index for the following month. With the Septe...
Thursday, August 11, 2011

VIX Suggests Investors Don’t Believe Rally Is Sustainable

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Back in 2007 and 2008 I had a shipload of posts talking about the SPX:VIX correlation , its implications for stocks and the like. I even cam...
Wednesday, August 10, 2011

VIX Backwardation Commentary

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My recent VIX Term Structure Evolution Over Last Ten Days post seemed to draw a fair amount of interest from the Financial Times , Forbes ...
Monday, August 8, 2011

VIX Sets Some New Records, Suggesting Volatility Near Peak

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Just a week ago the VIX seemed to be lagging behind the growing investor anxiety about fundamental challenges facing the stock market, but a...
Friday, August 5, 2011

VIX Term Structure Evolution Over Last Ten Days

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If you think the last two weeks have turned the investing world upside down, well you have to look no farther than the VIX futures term str...
Thursday, August 4, 2011

VIX Over 31 and SPX Down 12.5% From Peak as Bottom Nears

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Calling bottoms in the stock market is part art and part science, but with the VIX closing over 31 today (up 35.4% to a close of 31.66) and...
Wednesday, June 8, 2011

Apple Products vs. Platform

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Apple ( AAPL ) is an unusual stock for several reasons, not the least of which is the strong retail demand for the stock and a large conting...
Thursday, June 2, 2011

Economic Data vs. Expectations and Stock Prices

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For the last year I have been posting charts of the trends in various economic data reports versus consensus expectations. The last time aro...

Current SPX Pullback Second Longest Since March 2009 Bull Market Began

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Since the current bull market began back in March 2009, I have periodically been posting a table of the most significant pullbacks in the S...
Tuesday, May 31, 2011

Chart of the Week: XIV Celebrates Six-Month Birthday

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Yesterday marked six months since the launch of the VelocityShares Daily Inverse VIX Short-Term ETN ( XIV ). While XIV’s launch was receiv...
Thursday, May 26, 2011

Expiring Monthly May 2011 Issue Recap

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A quick reminder that the May edition of Expiring Monthly: The Option Traders Journal was published earlier this week and is available for ...
Tuesday, May 3, 2011

SPX Pullback History, 2009-2011

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Since there has been only one significant pullback in stocks so far in 2011, I am taking the mild selling from the last two days as an excus...
Thursday, April 28, 2011

Reader Q and A: Straddles and Implied Volatility

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Right before the close last Wednesday I placed an ATM straddle that proved to be profitable and I closed it after the IV spike on Thursday. ...