Friday, July 19, 2013

Aqumin Volatility Newsletter 07/19/2013 $SPY

Wither the VIX

The market for volatility seems to be giving up its final breaths today. If underwhelming earnings in GOOG and MSFT cannot push things lower I am running out of things to think of. The Fed has backtracked sufficiently enough and the world seems resigned to the fact that Europe will be a socialist basket case for a while during the public/private sector reshuffle with Portugal the latest problem. Detroit files for bankruptcy here maybe pushing up the Treasuries a bit. The net result this afternoon is a market down fractionally and the VIX down into the 12 handle at 12.91. What gives?

The OptionVision™ screen shows the total crush in the upside options. With the market shaking off pretty much all the bad news today the Weekend Effect is kicking in. That means upside options in the big indexes can be had on the cheap.

7-19-2013 2-43-55 PM

As things get cheaper, my inclination is to buy. My inclination is also that nothing seems to stop this market, but being a lifelong skeptic means I want an out just in case. For a midterm trade in the Aug cycle I would look at ratio call spreads (long more options than short) in the Aug cycle that reduce decay but give a nice pop if the market moves either way. If bad earnings make us flat this week what might good earnings do next week?


OptionVision™ – data from ORATS

Read more from Andrew at Option Pit

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