Tag Archive | "vega"

A Better Way to Play With Materials (XLB)

Sunday, July 13, 2008


The Striking Price column in this weekend’s Barron’s features John Marshall from Goldman, who suggests an “opportunity to buy volatility” in the S&P Materials sector via the tracking ETF (XLB).  He makes the bearish case for XLB, arguing: 1) that the materials sector is particularly vulnerable to any slowdown in global growth, 2) that the ETF components include some less resilient names, and don’t feature the best of breed like POT and MOS, and 3) that hedge funds are…

How Vega Can Deceive You: Part I

Wednesday, May 7, 2008


As you probably know, iron condors are short Vega – which represents your position’s sensitivity to shifts in implied volatility. In a relatively low volatility environment, this can be troublesome when suddenly volatility spikes and your iron condors suffer as a result. So let’s say you add some Vega to your portfolio by buying some 4 month calendars (ex: June/October) to hedge against an expected volatility pop. You now have a net Vega position of 100, your Delta is flat…

Going Nowhere Fast

Monday, April 7, 2008


Markets ripped higher pre-open, gave it all back right away, moved higher again, and then gave it all back again through to the close. There: we just saved you six and a half hours, you didn’t miss a thing. Alcoa announced earnings after the close and missed and is down another 15 cents after a -1.50 day. Indexes hit some overhead resistance and volume was really blah today. The VIX, which was down another 3% intraday, closed down just 0.03.…

Market Melts Up

Tuesday, April 1, 2008


In a viable, vibrant bull market working alongside a healthy economy, are 400 point rallies like this one really needed? Volume today? Shrug. Nothing to write home about. Volume in IWM and QQQQ was particularly average; the biggest volume was in the Dow, which, as you may recall, is still composed of just 30 stocks. The biggest Dow gainers today, unsurprisingly, were AIG (+8%) AXP (+7%) C (+11%) and JPM (+9%). As nice as this rally was, only QQQQ…


Jared Woodard specializes in trading volatility as an asset class. With over a decade of experience trading options and other volatility products ... Read More


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