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In the Forums
how are first-time regular dividends treated with options?
Hi, how does first time dividends effect the options price? - i.e what if apple did $3 a NEW quart...
Would you short the VIX at these levels?
"I know you guys like to speak from a realized volatility perspective. So when you look at the ...
List of Brokers That Allow Portfolio Margining
Actually, you would be surprised at how many big name brokers do not offer portfolio margin. I comp...
News Feed
2/3/2012
www.bloomberg.com
2/3/2012
bostonglobe.com
Trading & Technology
Between SPX Volatility and VIX, Something Has To Give
Traders, something HAS to give in this marketplace. Read >
Can the VXX Hold 26?
Getting to a number in stocks and indexes is important: AAPL at $500 (oh sorry, not yet there, but are there doubts?), the Dow when it first crossed 10,000 (the second and third time not as fun), and the VIX below $20. Read >
Understanding Option Skew -- What It Is and Why It Exists
Volatility is often discussed as a single number. In the real world, the volatility of each strike price and in each month is different than the neighboring one. Read >
Volatility Trading Digest - CAT Watch
As a single cyclical indicator for the global economy, it would be hard to find one better than the sales, earnings and stock price of Caterpillar. Read >
Volatility Trading Digest - Strategy Ideas
Trade selection using volatility as the primary criteria. Different trades for different volatility opportunities.
Read >
Volatility Views 38: The Great Skew Debate
Volatility Review: What is going on with the VIX? How low can it go? Sebas sees VIX going to 16. Don gives a Euro VolContract update, noting the equity-like behavior (underlying increased, while vol dropped). Looking forward to the Nasdaq 100 VolContracts.
Volatility Viewpoint: Mark, Mark, and Don discuss volatility and skew with John Bilson, Professor of Finance at the Illinois Institute of Technology's Stuart School of Finance. Professor Bilson also proposes two new types of contracts for the marketplace.
Crytsal Ball: Right now, there are good opportunities to buy individual equity options because volatility is so low. Mark Sebastian uses AAPL as an example. The impact of the leverage effect. Don thinks that the vol levels on the Euro VolContracts look just about right. Read >
Volatility Trading Digest - Earnings Reports Galore
Last week we mentioned the seasonal January tailwind that was expected to continue through the end of the month unless interrupted by another negative European event. Read >
Volatility Trading Digest - Quarterly Earnings Report Ideas
Trade selection using volatility as the primary criteria. Different trades for different volatility opportunities Read >
Volatility Views 37: Volatility: How Low Can It Go?
Volatility Review: Might we see VIX below 20 for some time to come? Euro vol up slightly since last week -- Bob Krause called it correctly. Two weeks to go in the Feb VolContract.
Volatility Viewpoint: Don gets a chance to give his views on last week's topics and talking points from Nikunj Kapadia, Associate Professor at the UMass Eisenberg School of Management.
Mailbag: VolContracts on the NASDAQ!!!
Crystal Ball: Vol could stay below 20 for a while, VIX futures are even on sale. Is volatility at 12 realistic for the Euro going forward? Read >
SPX IV a Touch Troubling
I have been saying for some time that I thought we were going to touch 1300. Now that we have, where are we going from here? Read >
Volatility Trading Digest - Upward Momentum
While acknowledging perhaps there are better ways to illustrate last week's increasing momentum in the equity markets than Newton's pendulum it does seem to imply the change was rather sudden considering the lingering concerns about the sovereign debt issues in Europe. Read >
Volatility Trading Digest - Strategy & Quarterly Earnings Report Ideas
Trade selection using volatility as the primary criteria. Different trades for different volatility opportunities. Read >
Volatility Views 36: The VIX vs. Black Swan: Analyzing Tail Risk in the VIX
Volatility Review: Another interesting week in general volatility. Although predicted to settle around the new mean of 23-25, VIX is down to 19. Where will it go next? CBOE has finally put out an adjustment to their settlement process. Euro VolContract review.
Volatility Viewpoint: This week's guest, Nikunj Kapadia from UMass, sits down with Mark and Bob to discuss Black Swans, volatility pricing, tail risk, and buy-writes.
Crystal Ball: VIX may be headed towards 19 from heavy pressure on VIX Jan and Feb futures. Could we really see an explosion to the upside? Big news at VolX! Read >
VIX Futures Not Exactly a Harbinger of Bad Things
As I was looking at the VIX trading relative to the SPX, I was struck by a few things Read >
Will Q1 2012 Be Boring?
I know it might sound funny, but it is possible that the first quarter of 2012 could be a really boring quarter. Read >
Volatility Trading Digest - Slim Pickings
Although volume continues to be very light it should pick up next week as the quarterly earnings reports start to be released and attention shifts from the weak euro to forecasting 2012 earnings. The Read >
VIX Officially Off Steroids
I have to admit, while I have been expecting the VIX to return to normalcy, I have been shocked at the speed at which it moved down. Read >
Volatility Trading Digest - Short Idea, Increasing Implied Volatility, and a Possible Trend Change
Trade selection using volatility as the primary criteria. Different trades for different volatility opportunities. Read >
Volatility Views 35: Aggressively Selling Volatility in the New Year
Volatility Review: After a holiday hiatus, Mark, Don, and Mark Sebastian discuss and review current and upcoming vol in 2012. The $64,000 question: Why is vol getting crushed? What's happening in the Euro zone?
Volatility Viewpoint: A grab bag of volatility topics in this viewpoint section, including: VIX futures--how they trade, the nature of their term structure, contango, etc., and actual realized vol in the market for the past year.
Mailbag: Best method of volatility measurement?
Crystal Ball: Vol, S&P, VIX, EuroVol Contracts, and Jan futures--where are they moving this year? A few new contracts may be in the pipeline over at VolX. Read >
VIX Expectations Versus the Roll Yield Crushing VXX Options
I feel like that title is worthy of a WWF Cage Match special. But really folks, there is something else going on. Read >
Volatility Trading Digest - Setting the Stage for 2012
As we begin 2012, the first task is trying to determine if there is a definable market trend. Read >
