Crazy Volatility Rally!
With stocks ringing up another banner year the most unloved asset is making a move into the close. No I do not mean oil. That asset is volatility. VIX is up 1.60 to 17.52 as I write this, as players are getting very nervous moving into 2015. The relative volume landscape tells a more enlightening story.
Note how the IV is up on just about every strike in the SPY. That is the green color on the relative volume landscape in OptionVision™. The spikiness is for relative volume. Note the most active series outside of closing Quarterlies is the Jan 2 weekly ATM puts. Volume there is 1.8 x average and almost everything else is trading way below that. In short we are having a volatility spike on small volume. Welcome to holiday trading.
The volume, if there is any, is concentrated in the Jan ordinary cycle. Well before the Greek elections and smack in the middle of earnings season. The fact that the activity is there is driving up prices in other terms. This looks like a good opportunity to sell more OTM put spreads, maybe in a delta neutral Iron Condor catching the Jan Ordinary cycle. That will expire long before the Greek elections come to pass.
Happy New Year!
OptionVision™ – data from ORATS
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