SPX, XLF, VIX - Skews and Charts Moving Forward

Discussion in 'Options' started by livevol_ophir, Mar 19, 2010.

  1. livevol_ophir

    livevol_ophir ET Sponsor

    Check out the charts and skews...

    SPX: 1,160.47
    XLF: 15.71
    VIX: 17.19

    The S&P 500 is near a 52 wk high and at a 52 wk low in IV30™. The Stats Tab and Charts Tab snaps are in the article. Note the rise in value (top chart) and the drop in vol (bottom chart) over the last year.

    The XLF is $0.29 away from a 52 wk high and one vol point for a 52 wk low in IV30™. The Stats Tab and Charts Tab snaps are in the article. This is a 3 month window - note the rise in price (top) and drop in vol (bottom).

    Finally the VIX is 1.19 away from a 52 wk low. The Stats Tab and Charts Tab snaps (1 year) are in the article.

    The S&P 500 and VIX skews aren't terribly interesting but the XLF skew chart may be worth examining. Note the downward skew as of today relative to 10-22-2009 implying greater downside risk (literally a shift in the probability measure) today relative to then (in the article).

    So the question is - at (or near) highs in the broad market and financials and near lows for the volatility index - are you bullish or bearish? You can probably make arguments for both.

    Not sure... Try this:

    If you absolutely have to make a trade today and hold it for 6 months, are you long or short the market? Are you long or short the VIX?

    Details, charts, skews, prices, stats here:
    http://livevol.blogspot.com/2010/03/spx-xlf-vix.html
     
  2. You mean, if someone put a gun to my head?

    Long.

    Why?

    Because I have no idea what the market is going to do. So the safest thing would be to simply do what the market's doing.
     
  3. livevol_ophir

    livevol_ophir ET Sponsor

    Not the worst rationale...