Volatility Tracker for the week of October 12, 2009
Traders have become increasingly focused on the role that the dollar is playing in exacerbating rallies in equities, gold, and other assets, with concern in some quarters about a more precipitous dollar decline to come. At least on the implied volatility front, there’s no sign of such worries yet. EVZ, the index that tracks VIX-style implied volatility for FXE (a EUR/USD ETF) is pushing to new all-time lows. Note that sudden…
CME Group published the following product update today:
Effective Sunday, October 11, 2009 (trade date Monday, October 12), the following changes to the listing rules for COMEX Gold options will occur:
The strike price interval will be set to $5.00 (CME Globex strike price increment=5) increments for all trading months on all venues regardless of the level of the underlying futures prices. Currently, the strike price interval is dependent on futures price levels as follows: $5.00…
Volatility Tracker for the week of September 28, 2009
The spread between the volatility realized in the S&P 500 over the last 30 calendar days and the volatility implied in S&P 500 options 30 calendar days ago is about the widest that it has been this year, with the exception of a similar instance in early August. [5,6] That means stocks haven’t been nearly as volatile as index option prices have assumed they would be. Put another way, it has…
Volatility Tracker for the week of September 14, 2009
The dollar continued slouching toward Harare, and it is anybody’s guess whether the trend will reverse anytime soon. I track price and volatility changes in FXE, the USD/EUR ETF, at [2,3]. The implied volatility index for gold closed down nearly 6%, in line with the expectations expressed last week.
I can’t recommend enough giving a weekly glance at the Implied Daily Move table. These are simply the point and percentage changes…
Volatility Tracker for the week of September 8, 2009
The biggest mover last week on the volatility front was gold, as the “gold VIX” (GVZ) closed 40% higher. [2,3] Recall that when equity index prices rise, implied volatility typically falls; this inverse relationship does not hold for gold and many other commodities. On the contrary, the volatility implied by option prices will often rise with commodity price increases -a state of affairs with significant implications for option traders. We are…
We generally restrict iron condor trades in our paid newsletter and managed accounts to index products. For those who prefer ETFs, we look at SPY, DIA, IWM, QQQQ; otherwise, SPX, RUT, NDX, DJX are bigger proxies, or on the futures side of things we’ll look at the Emini S&P 500 or Nasdaq 100 (ES and NQ). The reason we trade index products is that diversification reduces the impact of company-level surprises: an iron condor on, say, RIMM will get…
Volatility Tracker for July 13, 2009
On the equity front, I continue to expect flat-to-downward price momentum for the summer. Volatility futures have been pricing in a higher level of implied volatility for the late summer for quite some time – a fact to which “green shoots” proponents would do well to attend. [7]
I want to call your attention this week to the situation in gold and oil. Crude oil futures fell from a recent high of $72.92 on…
Volatility Tracker for June 8, 2009
This week may be a turning point. None of the indicators below are quite at extremes, and I am keeping my S&P volatility bias at neutral since I would rather be a little late than very early. However, notice that volatility sellers have been “right” since at least mid-April, [5] a trend which is far more likely to reverse sharply than to flatten out. The S&P 500 looks overbought on a price basis, [4]…
Volatility Tracker for May 24, 2009
Equity indexes were relatively unchanged for the week, and investor sentiment seems to be split between those who anticipate a quiet, trendless summer and those looking for lower prices and higher volatility. While the spot VIX number received a great deal of attention, the real action in volatility was in gold and the dollar. [2] Notice that the substantial rise in implied volatility in gold coincided with a price rise over the same period…
Volatility Tracker for April 4, 2009
As promised last week, we’ve expanded the scope of the Volatility Tracker to include some Gold (GLD, GVZ) charts. Questions and comments are welcome.
If it moves, we will track it.
Tuesday, October 13, 2009
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