The spread is actually correct .30/.35 and there was some healthy volume today. From what I can tell, like 85-90% of the trades were all hit on the ask, so new long put positions are banking on the VIX being 10.65 or lower next month. But on the flip side, there was a bunch of calls purchased at various higher strikes. Remember the pricing is different from equity derivatives, where there is parity and they "add up" so to speak in the case of an in the money put.
Not quite. Statistical volatility could equal or exceed implied in any number of the positions. Not to mention dispersion. At the moment not hedging with hard deltas, I'll move the premiums around. An increase in implied volatility would certainly be preferred to gamma trading through December. -segv
You are right. It definitely seems odd. When I saw it this morning also, it jumped out immediately at me. They look really underpriced here, but I just dont feel comfortable banking on the VIX hanging at these lower levels for another near 5 weeks. Maybe thats why they are so cheap.
sucks , hope it will get better for you...BTW , most SPX's stocks vols holding steady so how come index vols are lower ? Is this due to skew beeing an almost non-exising ( hence , no weight affect on the mean ) ?
Yes, and i always wait to go fully LONG just before it hits ZERO... 100% up to Go... no worries mate' anybody know how i put a bug in the PPT boardroom... or date their wives... cj... __________________ HAVE STOP - WILL TRADE
I think its supply. It has been very easy to buy. Also vols are certainly off in the constituents I own. -segv
I agree. I think the inverted yield curve is too easily dismissed by the talking heads. I'd like to see the VIX get into the 9's. It would make for an even better put buy when the market eventually turns.