tag:blogger.com,1999:blog-3039396678573922522024-03-05T18:27:44.912-08:00Aqumin BlogAustinhttp://www.blogger.com/profile/00077197004787721347noreply@blogger.comBlogger326125tag:blogger.com,1999:blog-303939667857392252.post-66292840761064012422016-12-20T10:05:00.000-08:002016-12-20T10:05:56.319-08:00Aqumin Volatility Newsletter 12-20-16 $NUGT<div class="MsoNormal">
Making Gold<o:p></o:p></div>
<div class="MsoNormal">
<br /></div>
<br />
<div class="MsoNormal">
The equity market moves since Nov 8<sup>th</sup> have been
nothing short of spectacular.
Essentially what many thought would happen did not, and the run into
2017 became a new ballgame. Financials
and commodities jumped, tech made a slight move and interest rate products
tanked. Not least of which was the
inflation hedge gold.<o:p></o:p></div>
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<br /></div>
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On a pure snap of volatility using AlphaVision, NUGT stands out as the most volatile
name for its market cap. 3x levered products almost always lead for realized vol,
so it is just a matter of which one.
NUGT has some of the largest 60 day vol (red) and 10 day vol (building
height). Which makes sense considering
the free fall in gold and that makes it the vol leader of a volatile group.<o:p></o:p></div>
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<a href="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEjXSPyX038oXEPONBUyRg2ET4VY9uQ1T4OdHAygwwdve4ug5_myl8aWFTXgkUzSr9pal804a7Dj0u9c8MUmcn0UkS702ra7l9VlLhL7JwKroDn8qe7qg7GR0zaU0EYTS1oJwoMpOGYW73U/s1600/2016-12-20_11-57-40.jpg" imageanchor="1" style="margin-left: 1em; margin-right: 1em;"><img border="0" height="462" src="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEjXSPyX038oXEPONBUyRg2ET4VY9uQ1T4OdHAygwwdve4ug5_myl8aWFTXgkUzSr9pal804a7Dj0u9c8MUmcn0UkS702ra7l9VlLhL7JwKroDn8qe7qg7GR0zaU0EYTS1oJwoMpOGYW73U/s640/2016-12-20_11-57-40.jpg" width="640" /></a></div>
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<a href="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEjJUkVS14mrXKXD7M8i_bqEg4GAJkI-PEaliEFMguqFzwxPdQ1WO6hq94Q1194UjT6332YSBCs4RKS2Kg4a4lJyUWMQgxwsKFqWXxPJJ5k7PIT9myPJEx3L-it0GT6_OJSN47Rh5rNrZck/s1600/NUGT+GIP+12202016.PNG" imageanchor="1" style="margin-left: 1em; margin-right: 1em;"><img border="0" height="249" src="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEjJUkVS14mrXKXD7M8i_bqEg4GAJkI-PEaliEFMguqFzwxPdQ1WO6hq94Q1194UjT6332YSBCs4RKS2Kg4a4lJyUWMQgxwsKFqWXxPJJ5k7PIT9myPJEx3L-it0GT6_OJSN47Rh5rNrZck/s320/NUGT+GIP+12202016.PNG" width="320" /></a></div>
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That also brings me to the fun of the landscape. Outlying
names only stay there for so long and gold is trading like inflation is
dead. Short term gold is ugly but longer
term should rise. Use the realized
volatility for a short term short direction play, say a put time spread below
the money in the Dec/Jan cycle for GLD and buy some longer term calls in NUGT
for a pop. If the realized vol holds the
put time spreads should pay and maybe pay for all the NUGT calls. Then ride the NUGT calls.<o:p></o:p></div>
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<br /></div>
<br />
<span style="background-color: black; color: #cccccc; font-family: "trebuchet ms", trebuchet, verdana, sans-serif; font-size: 13px; line-height: 20.8px;">Read more from Andrew at </span><a href="http://www.optionpit.com/home" style="background-color: black; color: #aa77aa; font-family: "trebuchet ms", trebuchet, verdana, sans-serif; font-size: 13px; line-height: 20.8px; text-decoration: none;">Option Pit</a>AGiovinazzihttp://www.blogger.com/profile/07870888594910366132noreply@blogger.com0tag:blogger.com,1999:blog-303939667857392252.post-76372369283435955252016-11-01T09:51:00.001-07:002016-11-01T09:51:36.998-07:00Aqumin Volatility Newsletter 10/31/2016 $UVXY<span style="font-family: Calibri, sans-serif;">It aint
over until it’s over<o:p></o:p></span><br />
<span style="font-family: Calibri, sans-serif;"><br /></span>
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Election shocks and surprises<o:p></o:p></div>
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The old saying “It ain’t over til it’s over” was never more
true than last Friday. A small change in
the election game set volatility on fire again.
Generally what I like to see is standout volatility up or down for a
ride in the volatility products. Usually
the vol products just decay but every once in a while there is a cause for an
out of category volatility. Even with
the market clocking in single digit realized volatility UVXY found a way to
jump off of the 3D map again.<o:p></o:p></div>
<br />
<div class="MsoNormal">
UVXY is a levered product, but when the levered product gets
way above all else it is noteworthy. The
dark red color in the AlphaVision® Landscape below, shows the lively 60 day
realized volatility, with NUGT in the front of the group. Height is what we want since that is the 10
day realized. UVXY is back out in front in the top 10% of 1 day relative moves
which is how each decile of ETF’s is sorted.
The election will keep UVXY moving.<o:p></o:p></div>
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<div class="separator" style="clear: both; text-align: center;">
<a href="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEiGDe7iGBcxWLKbADOASBf7sJTe21qj_758aEgJrXbQ5ee0CRdVuE65jfACbSBhOx0aNEBAnhOt8WSVjnYd-rsdN8aRTbbLdgFdr4XLuXJJxEK3YjeuZmVgZjzzoilDOVWj5Bb0KODNwCg/s1600/2016-11-01_11-42-20.png" imageanchor="1" style="margin-left: 1em; margin-right: 1em;"><img border="0" height="470" src="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEiGDe7iGBcxWLKbADOASBf7sJTe21qj_758aEgJrXbQ5ee0CRdVuE65jfACbSBhOx0aNEBAnhOt8WSVjnYd-rsdN8aRTbbLdgFdr4XLuXJJxEK3YjeuZmVgZjzzoilDOVWj5Bb0KODNwCg/s640/2016-11-01_11-42-20.png" width="640" /></a></div>
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<br /></div>
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I expect UVXY and the volatility products to stay lively
through the election with a binary move post- election. There is now too much uncertainty to let
volatility tank prior the Nov 8<sup>th</sup> a la The Brexit. I like long vol
plays (call spreads in UVXY) in the shorter duration, but expiry after the Nov
8<sup>th</sup>, and a short vol play just farther out in the post-election run
up. The short vol can wait at least
until the 7<sup>th</sup>.<o:p></o:p></div>
AGiovinazzihttp://www.blogger.com/profile/07870888594910366132noreply@blogger.com0tag:blogger.com,1999:blog-303939667857392252.post-74335014800661601742016-10-18T13:02:00.000-07:002016-10-18T13:02:16.661-07:00Aqumin Volatility Newsletter 10-18-2016 $CHK<div class="MsoNormal">
Someone CHK the Gas<o:p></o:p></div>
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<br /></div>
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There are finally some decent earnings to cheer about
today. Both GS and NFLX are up big on
beating estimates. For stocks that are
at near all-time highs, great earnings are necessary to propel us higher. Oil and Gas are doing better than ok this
year to help Technology keep things moving.
The Energy group has been the big winner in 2016 with outstanding
performance after a dismal start. Energy
lead by CHK has turned in the best relative performance so far this year (AlphaVision®Landscape
group on the lower left) in the S&P 500.<o:p></o:p></div>
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CHK is a story from a famous ex-CEO to over production just
in time for the crash in Nat Gas prices.
The $40 company is now a $6 company.
At some point they will be an asset play for someone with a very long
view. The Trend Reversal Landscape is
showing a lot of red lately in the Energy group. The poor 5 day relative performance is
probably the group taking a pause after the big move to $50 in oil. CHK clearly is not resting since 3 month
performance (tallest building) is the best in the group and it is still
rallying short term (green color).<o:p></o:p></div>
<div class="separator" style="clear: both; text-align: center;">
<a href="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEjhZRYXN_5nZB18Fcv7ULsWJSeOC_X29UWwhQBoSyRapVotQwYDjoThIstG4MMGWr-ap4oIgUb3Bn59FmsdwStn-XPWhbO-w3KXnIn82SJr5QgtmX_q_MbDiG0uDnAZtK3rQOFz5a-iNiU/s1600/2016-10-18_14-59-20.jpg" imageanchor="1" style="margin-left: 1em; margin-right: 1em;"><img border="0" height="486" src="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEjhZRYXN_5nZB18Fcv7ULsWJSeOC_X29UWwhQBoSyRapVotQwYDjoThIstG4MMGWr-ap4oIgUb3Bn59FmsdwStn-XPWhbO-w3KXnIn82SJr5QgtmX_q_MbDiG0uDnAZtK3rQOFz5a-iNiU/s640/2016-10-18_14-59-20.jpg" width="640" /></a></div>
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<br /></div>
<div class="MsoNormal">
On top of the recent performance there is a lot of call
buying activity in CHK. The near term
volatility is bid sky high with the terms expiring prior to earnings. Long ratio call spreads could work in here in
the short term (buying 2 and selling 1).
Maybe the long winter for Nat Gas is over if the producers keep picking
up a bid.<o:p></o:p></div>
<br />
<span style="background-color: black; color: #cccccc; font-family: "trebuchet ms" , "trebuchet" , "verdana" , sans-serif; font-size: 13px; line-height: 20.8px;">Read more from Andrew at </span><a href="http://www.optionpit.com/home" style="background-color: black; color: #aa77aa; font-family: "trebuchet ms", trebuchet, verdana, sans-serif; font-size: 13px; line-height: 20.8px; text-decoration: none;">Option Pit</a>AGiovinazzihttp://www.blogger.com/profile/07870888594910366132noreply@blogger.com0tag:blogger.com,1999:blog-303939667857392252.post-921754419804163652016-10-10T07:03:00.000-07:002016-10-10T07:03:04.087-07:00Aqumin Volatility Newsletter 10-10-16 $WMT $TSN<div class="MsoNormal">
<b>WMT the high volatility leader</b><o:p></o:p></div>
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<br /></div>
<div class="MsoNormal">
The market is having a hard time discounting the
future. By that I mean that the Fed and
their multiple announcements and opinions by various Fed Governor’s have put a
fork in market volatility. The big sea
change is that G7 Central Banks are holding so much paper that players are
having a hard time looking forward. Not
that it ever was easy in the modern era, but now it seems different. As a
volatility watcher I will ignore the squishy middle for now and look at some
outliers. WMT fits for this week.<o:p></o:p></div>
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<span style="font-family: "Calibri","sans-serif"; font-size: 11.0pt; line-height: 115%; mso-ansi-language: EN-US; mso-ascii-theme-font: minor-latin; mso-bidi-font-family: "Times New Roman"; mso-bidi-language: AR-SA; mso-bidi-theme-font: minor-bidi; mso-fareast-font-family: Calibri; mso-fareast-language: EN-US; mso-fareast-theme-font: minor-latin; mso-hansi-theme-font: minor-latin;">We have the rolling volatility landscape that
looks at 4 realized vol measurements at once.
60 day through 10 day realized vol is depicted as a sequence of
buildings with “up buildins that are green showing sequential jumps in from 60
day to 30 day to 20 day to 10 day realized.
Usually that means some equity is in some kind of trouble short
term. In this case WMT got the double
whammy </span>of lower earnings expectations and a non-settlement with the
DOJ. Both of those sent the stock down
to 6 month lows on gaping moves for WMT.<br />
<br />
<div class="separator" style="clear: both; text-align: center;">
<a href="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEgi3xkkF8EhY6FA5YQFc6Zyd3AF0D-4Pfss2gUUxcMDxKdZ7vqQoQshMt6RLvtJp_ops3SyPAgfslu1LLsYxWLs5m1W-Zhda1BAOmPrs513cxFmVQwU1MAa1tZq-46Ycw72jxI3kmp-bT8/s1600/2016-10-10_8-59-26.jpg" imageanchor="1" style="margin-left: 1em; margin-right: 1em;"><img border="0" height="474" src="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEgi3xkkF8EhY6FA5YQFc6Zyd3AF0D-4Pfss2gUUxcMDxKdZ7vqQoQshMt6RLvtJp_ops3SyPAgfslu1LLsYxWLs5m1W-Zhda1BAOmPrs513cxFmVQwU1MAa1tZq-46Ycw72jxI3kmp-bT8/s640/2016-10-10_8-59-26.jpg" width="640" /></a></div>
<br />
<span style="font-family: "Calibri","sans-serif"; font-size: 11.0pt; line-height: 115%; mso-ansi-language: EN-US; mso-ascii-theme-font: minor-latin; mso-bidi-font-family: "Times New Roman"; mso-bidi-language: AR-SA; mso-bidi-theme-font: minor-bidi; mso-fareast-font-family: Calibri; mso-fareast-language: EN-US; mso-fareast-theme-font: minor-latin; mso-hansi-theme-font: minor-latin;"></span><br />
<div class="MsoNormal">
The AlphaVision® Vol Changes landscape shows color as the 10
and 20 day IV ratio so greener buildings mean more volatility now. TSN is also high on the list for the S&P
500. This reminds of December when WMT
went through some initiatives that knocked down the price to the high 50s. I don’t think it gets there but some put time
spreads just OTM might work to sell the shorter term volatility. WMT did get a little worse before it got
better.<o:p></o:p></div>
<div class="MsoNormal">
<br /></div>
<div class="MsoNormal">
<span style="background-color: black; color: #cccccc; font-family: "Trebuchet MS", Trebuchet, Verdana, sans-serif; font-size: 13px; line-height: 20.8px;">Read more from Andrew at </span><a href="http://www.optionpit.com/home" style="background-color: black; color: #aa77aa; font-family: "Trebuchet MS", Trebuchet, Verdana, sans-serif; font-size: 13px; line-height: 20.8px; text-decoration: none;">Option Pit</a></div>
AGiovinazzihttp://www.blogger.com/profile/07870888594910366132noreply@blogger.com0tag:blogger.com,1999:blog-303939667857392252.post-32896542596773389892016-09-30T13:13:00.000-07:002016-09-30T13:13:20.749-07:00Aqumin Volatility Newsletter 9-30-16 $XOM, $DB<div class="MsoNormal">
<b>Who cares about DB when we have XOM?</b><o:p></o:p></div>
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<br /></div>
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DB stole the headlines this week with what might have been a
Lehman moment. As this blog was written
there are rumors of a reduced settlement or at least the availability of credit
for DB. The short gasp of volatility we
had on Thursday looks like just that, a short gasp. The volatility is still with us in Energy.<o:p></o:p></div>
<br />
<div class="MsoNormal">
In what used to be a relatively unexciting part of the
market, Energy stocks are ripping up with every OPEC headline. Currently for the S&P 500 (AlphaVision
Landscape below) they are most volatile (red and tall) groups for both the
short (10d) and longer (60d) terms. The
oil price swings and the near death experience for the group is still very
close. This movement is also generating
better than average premiums in the options.<o:p></o:p></div>
<div class="separator" style="clear: both; text-align: center;">
<a href="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEh9uRa7B-mpXKxpxUXQ2rfV1AP5HsMXcjhi7EM7f3hXgtrm-n7m3_aspchtdymiB4h_aCLkRX7ZIhavmo8D-Yhedvcz51mBaW7rW-J_4gIfw7Eme2yo25YwQ2UN_GEded1vp_RsscVOhAU/s1600/2016-09-30_15-09-22.jpg" imageanchor="1" style="margin-left: 1em; margin-right: 1em;"><img border="0" height="466" src="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEh9uRa7B-mpXKxpxUXQ2rfV1AP5HsMXcjhi7EM7f3hXgtrm-n7m3_aspchtdymiB4h_aCLkRX7ZIhavmo8D-Yhedvcz51mBaW7rW-J_4gIfw7Eme2yo25YwQ2UN_GEded1vp_RsscVOhAU/s640/2016-09-30_15-09-22.jpg" width="640" /></a></div>
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A stock like XOM which just traded $83 is generating 2% to
write the Oct ATM call. That is not too
bad on less than 1 month hold. With some
kind of deal in with OPEC, stable oil prices should make the Energy group a
nice premium write given the current higher volatilities.<o:p></o:p></div>
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<br /></div>
<div class="MsoNormal">
<span style="background-color: black; color: #cccccc; font-family: "Trebuchet MS", Trebuchet, Verdana, sans-serif; font-size: 13px; line-height: 20.8px;">Read more from Andrew at </span><a href="http://www.optionpit.com/home" style="background-color: black; color: #aa77aa; font-family: "Trebuchet MS", Trebuchet, Verdana, sans-serif; font-size: 13px; line-height: 20.8px; text-decoration: none;">Option Pit</a></div>
AGiovinazzihttp://www.blogger.com/profile/07870888594910366132noreply@blogger.com0tag:blogger.com,1999:blog-303939667857392252.post-69068189958837391622016-09-23T12:53:00.000-07:002016-09-23T12:53:54.782-07:00Aqumin Volatility Newsletter 9-23-16 $WFC<div class="MsoNormal">
<b>Banks HIT the Brakes</b><o:p></o:p></div>
<div class="MsoNormal">
This was not a good week for banks. WFC’s CEO did the perp walk in front of the
Senate and really had nothing to say. What could he? Somehow 5000+ employees went off the
reservation and did slightly naughty things opening up accounts. For a bank that prides itself on risk control
and sidestepped most of the financial crisis this was a big black eye. It might also be a symptom of how hard
banking has become in the face of new regulations and a low interest rate environment. One would think that would be a recipe for
volatility. Not really.<o:p></o:p></div>
<br />
<div class="MsoNormal">
Since we look at volatility in this blog, my AlphaVision®
landscape shows WFC is a standout for more short term realized vol (up
building) on the 10 day cycle and more 30 day volatility. If you look at most of the Financials,
realized volatility has steadily decreased (down pointing buildings) for the
last two months. Even the really bad
news did not cause WFC to fall out of bed too badly. While it is the most volatile big bank, BRK.B
is in the lower left corner of the sector, it is not a scale wipe for WFC. The bigger trend is the easing of movement
overall in banks. With the Fed
telegraphing rate for the the end of 2016 and in 2017 things could get better
and not worse for banks. Not homeruns
but just boring decent returns. The way
banks should be. WFC is a scoop.<o:p></o:p></div>
<div class="separator" style="clear: both; text-align: center;">
<a href="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEglcNiDAEUAwPkzFmKyYgdQhhGqCjZ0zOJwzq1lO9ZXbpwuu0_e-_P4bPirDho5c95l-_rYVYaE0d6sNI5QZYvGEM2F2lSRHthslow0DkQ7WrsK2GL-_LdBvj_ypyV9tgIlgk9Dabutdyw/s1600/2016-09-23_14-50-05.png" imageanchor="1" style="margin-left: 1em; margin-right: 1em;"><img border="0" height="468" src="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEglcNiDAEUAwPkzFmKyYgdQhhGqCjZ0zOJwzq1lO9ZXbpwuu0_e-_P4bPirDho5c95l-_rYVYaE0d6sNI5QZYvGEM2F2lSRHthslow0DkQ7WrsK2GL-_LdBvj_ypyV9tgIlgk9Dabutdyw/s640/2016-09-23_14-50-05.png" width="640" /></a></div>
<div class="MsoNormal">
<span style="background-color: black; color: #cccccc; font-family: "Trebuchet MS", Trebuchet, Verdana, sans-serif; font-size: 13px; line-height: 20.8px;">Read more from Andrew at </span><a href="http://www.optionpit.com/home" style="background-color: black; color: #aa77aa; font-family: "Trebuchet MS", Trebuchet, Verdana, sans-serif; font-size: 13px; line-height: 20.8px; text-decoration: none;">Option Pit</a></div>
AGiovinazzihttp://www.blogger.com/profile/07870888594910366132noreply@blogger.com0tag:blogger.com,1999:blog-303939667857392252.post-43924100825513865252016-09-16T12:09:00.000-07:002016-09-16T12:09:14.663-07:00Aqumin Volatility Newsletter - 9-16-16 $INTC<div class="MsoNormal">
The chips heat up for INTC<o:p></o:p></div>
<div class="MsoNormal">
<br /></div>
<br />
<div class="MsoNormal">
This is yet another week where stocks just sit and wait for
the Fed to say something about rates.
The only real anticipation is whether we have a Brexit like surprise or
not. A little CPI is going to nudge the
Fed one way for sure. The tit for tat
fine on DB is roughly the same as the tax bill for AAPL. Trade wars could take on a new meaning. In short the powers that be did not add value
to the broad market this week and the very wild volatility early in the week is
dissipating into Sep 21<sup>st</sup>. A
quick glance at my AlphaVision® landscape had sentiment telling a better story.<o:p></o:p></div>
<div class="separator" style="clear: both; text-align: center;">
<a href="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEgx_9HkbAdNmbP4jsc9FC3zebgj1Fm_MQTJ0W3pI4wUa-tNjx7G6_Aji5WpOQMza4T6siyMECAV-yjg7DRgU2mlJv1hprd6RUlpiPl6JLOMapIR8Hc2l-yVC1MvS1VIySyVo_cQDSA8NNw/s1600/2016-09-16_14-03-00.png" imageanchor="1" style="margin-left: 1em; margin-right: 1em;"><img border="0" height="414" src="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEgx_9HkbAdNmbP4jsc9FC3zebgj1Fm_MQTJ0W3pI4wUa-tNjx7G6_Aji5WpOQMza4T6siyMECAV-yjg7DRgU2mlJv1hprd6RUlpiPl6JLOMapIR8Hc2l-yVC1MvS1VIySyVo_cQDSA8NNw/s640/2016-09-16_14-03-00.png" width="640" /></a></div>
<div class="MsoNormal">
<br /></div>
<div class="MsoNormal">
Tech is smoking hot.
While financials and oil (XOM is the big sad red building) hang out in
the bargain bin, chip stocks are back.
Note that INTC (largest green building) is leading the news sentiment
charge even over AAPL which in itself is noteworthy after the 10% run in AAPL
the last week. While there are growth
rumors around INTC, maybe in an IPhone, the big semi appears to be selling more
stuff. The trend is looking very favorable. A short put rolling routine in INTC yields
about .66% per week at the 37 strike which is a bit above normal. That would get you in before the good news.<o:p></o:p></div>
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Disclosure: Long INTC<o:p></o:p></div>
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<span style="background-color: black; color: #cccccc; font-family: "Trebuchet MS", Trebuchet, Verdana, sans-serif; font-size: 13px; line-height: 20.8px;">Read more from Andrew at </span><a href="http://www.optionpit.com/home" style="background-color: black; color: #aa77aa; font-family: "Trebuchet MS", Trebuchet, Verdana, sans-serif; font-size: 13px; line-height: 20.8px; text-decoration: none;">Option Pit</a></div>
AGiovinazzihttp://www.blogger.com/profile/07870888594910366132noreply@blogger.com0tag:blogger.com,1999:blog-303939667857392252.post-63992992047153332482016-09-09T14:10:00.000-07:002016-09-09T14:10:49.626-07:00Aqumin Volatility Newsletter 9-9-16 $UVXY, $VIX<div class="MsoNormal">
<b>The Parking Lot </b><o:p></o:p></div>
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I am feeling that stocks don’t like the end of QE. While the Fed might talk up another rate walk
back or policy shift, at least today stocks did not like what they heard out of
the ECB. No more bond buying, rates
could start to go positive and a whole lot of folks are stuck with low yielding
paper. US Gov should jump on the low
rates now.<o:p></o:p></div>
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The reality is that equities could not break out. $2200 SPX was the line in the sand and
without any real news or monetary catalyst stocks were stuck. It looks like the monetary catalyst is about
over or at least the beginning of the end.
Since I am mostly a vol trader I am looking for signals wherever I can
find them. Using a list of liquid ETF’s as
a real time landscape gives me a show on a direction for volatility. Today I see what is known at Aqumin as a
“Parking Lot” Landscape. Everything is
down below the horizon leaving the list of 300 or so names looking like a
parking lot.<o:p></o:p></div>
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<a href="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEit2uFnP0q57qqP6Z3f2yfusBhoi-FnNRMnU6eQhVC7sSwfhC4ubO94SsE943-81WPi4Rmi3hdK1CchZsQiEZdYAGj1Uy0WuhdDOtIuySmPymWQqU_Yyn-Y87iETH0_-vFvl7sCOf9W0PU/s1600/2016-09-09_15-50-42.png" imageanchor="1" style="margin-left: 1em; margin-right: 1em;"><img border="0" height="483" src="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEit2uFnP0q57qqP6Z3f2yfusBhoi-FnNRMnU6eQhVC7sSwfhC4ubO94SsE943-81WPi4Rmi3hdK1CchZsQiEZdYAGj1Uy0WuhdDOtIuySmPymWQqU_Yyn-Y87iETH0_-vFvl7sCOf9W0PU/s640/2016-09-09_15-50-42.png" width="640" /></a></div>
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The largest performer was the UVXY which is a 2x long
volatility product. The fact that it is
the largest up move is not too surprising but the margin gap over the other
juiced ETFs is. That is usually not a
good thing for the longs. Vol begets vol
and at this point the volatility products should stay very active. Expect more movement in VIX. I like the idea of very short term strangles
in the vol products when they move like this.
Generally for the call side a very wide call spread will work and just a
put to complete a strangle. Similar to
the post last week, when things start an outsize move they are generally
telling you to get out of the way.<o:p></o:p></div>
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Disclosure- I oversee multiple volatility positions in VIX
for the Vol Fund I manage risk for, Karman Line Capital, LLC.<o:p></o:p></div>
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<span style="background-color: black; color: #cccccc; font-family: "Trebuchet MS", Trebuchet, Verdana, sans-serif; font-size: 13px; line-height: 20.8px;">Read more from Andrew at </span><a href="http://www.optionpit.com/home" style="background-color: black; color: #aa77aa; font-family: "Trebuchet MS", Trebuchet, Verdana, sans-serif; font-size: 13px; line-height: 20.8px; text-decoration: none;">Option Pit</a></div>
AGiovinazzihttp://www.blogger.com/profile/07870888594910366132noreply@blogger.com0tag:blogger.com,1999:blog-303939667857392252.post-19459950890648212332016-09-01T11:03:00.002-07:002016-09-01T11:03:38.503-07:00<h3 class="post-title entry-title" style="background-color: black; font-family: "Trebuchet MS", Trebuchet, Verdana, sans-serif; font-size: 18.2px; font-weight: normal; line-height: 1.4em; margin: 0.25em 0px 0px; padding: 0px 0px 4px;">
<a href="http://aqumin.blogspot.com/2015/08/aqumin-volatility-newsletter-8-28-15.html" style="display: block; font-weight: bold; text-decoration: none;"><span style="color: #93c47d;">Aqumin Volatility Newsletter 9-1-16 $DUST $VIX</span></a><a href="http://aqumin.blogspot.com/2015/08/aqumin-volatility-newsletter-8-28-15.html" style="display: block; font-weight: bold; text-decoration: none;"><span style="color: #93c47d;"><br /></span></a></h3>
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<b>Where will the DUST settle?</b><o:p></o:p></div>
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The historic lows in realized volatility are surprising this
year given the crazy volatility we saw in the first 6 months. If I told you in February that 10 Day
Realized Volatility would be down in the single digits for 30+ days, you would
have thought I was crazy. Yet here we
sit. Even with the NFP number, VIX can barely get above 13.5%. Not all products are taking a rest right now.<o:p></o:p></div>
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<a href="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEjE3fK2qRyYqpO4AIvd23InAzxB8Hd4BbB1AQJyppl5D5ky0OhYTCFPcvtHetBF9Cn7-1MkWLguXXQbBkE6wILKJ0T3tJcxktYYNNCSB_zPFnGzy6aMkv0aYoU_nzX19CV1fs1zSpMP3ME/s1600/2016-09-01_12-58-10.png" imageanchor="1" style="margin-left: 1em; margin-right: 1em;"><img border="0" height="497" src="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEjE3fK2qRyYqpO4AIvd23InAzxB8Hd4BbB1AQJyppl5D5ky0OhYTCFPcvtHetBF9Cn7-1MkWLguXXQbBkE6wILKJ0T3tJcxktYYNNCSB_zPFnGzy6aMkv0aYoU_nzX19CV1fs1zSpMP3ME/s640/2016-09-01_12-58-10.png" width="640" /></a></div>
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Note the action yesterday in DUST. DUST just reverse split after a one way trip
to the dog house in 2016. The product is
the inverse Gold Miner (3x) ETF so good day for DUST is a bad day for the gold
miners. It is not a product I trade
normally. 3x leverage has problems day
to day, but the leveraged ETFs are a great signal for volatility in a sector in
general. The screenshot is just showing
relative movement grouped by the most volatile, popular ETFs traded on the
CBOE. My snap was on the close
yesterday.<o:p></o:p></div>
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DUST is continuing the climb this morning and could keep
going. I like long gamma (owning near term
calls and puts) in the gold miners since for whatever reason, the miners care
about the NFP number tomorrow. The
massive gain in the Gold Miners this year could get messy.<o:p></o:p></div>
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Positions in GDX and GDXJ<o:p></o:p></div>
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Data from the Bloomberg Terminal<o:p></o:p></div>
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<span style="line-height: 20.8px;">Read more from Andrew at </span><a href="http://www.optionpit.com/home" style="color: #aa77aa; line-height: 20.8px; text-decoration: none;">Option Pit</a></div>
</div>
AGiovinazzihttp://www.blogger.com/profile/07870888594910366132noreply@blogger.com0tag:blogger.com,1999:blog-303939667857392252.post-6946482997524484112015-08-28T10:52:00.001-07:002015-08-28T10:52:34.731-07:00Aqumin Volatility Newsletter 8-28-15 $SPX $BTU<p><strong><font size="3">Smoking Volatility</font></strong></p> <p>As Friday rolls to a close stocks have seen some near record levels of volatility. If the VIX could have opened early Monday morning we would have touched 80% on that crazy downward spike. Notice there is no Financial Crisis currently. The funny thing is that was almost cheap. Traders know that when things get out of hand the most valuable commodity is gamma. Having some would have helped a whole lot on Monday.</p> <p>On a volatile week the Metals and Mining groups showed the highest IV. Note that in the OptionVision™ Implied Volatility (IV) landscape, Mtls and Mining show the highest average IV over the 60 day realized volatility. The meltdown in China basically left that segment in tatters and it only is just recovering or trying to. The IV still remains high as the future is totally murky. This sets up more potential movement than normal.</p> <p><a href="http://lh3.googleusercontent.com/-toaD9Dxl58Q/VeCf2xrYAlI/AAAAAAAAA0k/1XQOYnGdlGQ/s1600-h/2015-08-28_12-43-36%25255B3%25255D.png"><img title="2015-08-28_12-43-36" style="border-top: 0px; border-right: 0px; border-bottom: 0px; border-left: 0px; display: inline" border="0" alt="2015-08-28_12-43-36" src="http://lh3.googleusercontent.com/-nFbKadEgM0s/VeCf4Fk2nlI/AAAAAAAAA0w/uA0-VDmt_ZI/2015-08-28_12-43-36_thumb%25255B1%25255D.png?imgmax=800" width="629" height="484" /></a> </p> <p>When IV is this much of a premium over realized volatility that usually means the market has imploded, yet we are back to the levels we were at on Friday for SPX. The ground is still very shaky. If anything at this point I would still buy Gamma near the money and sell some Vega out of the money, We could buy ratio call spreads (buy 2 sell 1) with the long calls near the money. Any positive ratio that brings a credit in the some of the Mtl/Miners seems reasonable. If the recovery continues they should pay. BTU has been in the news recently and would not make a bad candidate for this kind of move. Other miners look ok in the space and might do as well if Coal looks too scary,</p> <p><strong><a href="http://www.optionvisionpro.com/">OptionVision™</a> – data from <a href="http://www.orats.com/">ORATS</a></strong></p> <p>Read more from Andrew at <a href="http://www.optionpit.com/home">Option Pit</a></p> AGiovinazzihttp://www.blogger.com/profile/07870888594910366132noreply@blogger.com0tag:blogger.com,1999:blog-303939667857392252.post-64215131975335338742015-07-24T07:29:00.001-07:002015-07-24T07:29:23.290-07:00Aqumin Volatility Newsletter 07/24/2015 - $XME, $XOP, $XLE, $LNCO<p><strong><font size="3">Is inflation dead?</font></strong></p> <p>Equity prices are very near all-time highs with the help of financials and technology this week. What is conspicuous by its absence are the commodity names. Oil, natural gas, iron and anything remotely close to those industries are deteriorating at a rate we have not seen in a while.</p> <p>Below I have arranged the OptionVision™ Landscape by realized volatility. The “parking lots” in the foreground are the big 3 sectors for commodities and the realized volatility is racing up with the names putting 1 week lows. Usually declining prices in rising volatility is a capitulation of sorts. I don’t know when this will end, but these names have been taken to the woodshed and then some with oil hovering in the $50s.</p> <p><a href="http://lh3.googleusercontent.com/-BFJESBKT8rM/VbJLvXFxneI/AAAAAAAAAzs/cL9ZTH-X0UI/s1600-h/2015-07-24_8-50-58%25255B4%25255D.jpg"><img title="2015-07-24_8-50-58" style="border-top: 0px; border-right: 0px; border-bottom: 0px; border-left: 0px; display: inline" border="0" alt="2015-07-24_8-50-58" src="http://lh3.googleusercontent.com/-U_5NVDMdets/VbJLwSretXI/AAAAAAAAAz4/SG8URhDr_pA/2015-07-24_8-50-58_thumb%25255B2%25255D.jpg?imgmax=800" width="643" height="524" /></a> </p> <p>It is true that gold is putting in multi-year lows and all of this has the look of a stampede out of these names. Note that Treasuries have been rising even as the Fed talks up rates. Somebody thinks commodities are dead and leaving in a hurry. I don’t deny the price action, but when I see so much one -sided action in these landscapes it usually does not last forever. The best idea is to own calls and puts in bigger commodity ETFs (XLE, XOP, XME) and trade the deltas as they come.</p> <p>Disclosure: positions in commodity ETFs.</p> <p><strong><a href="http://www.optionvisionpro.com/">OptionVision™</a> – data from <a href="http://www.orats.com/">ORATS</a></strong></p> <p>Read more from Andrew at <a href="http://www.optionpit.com/home">Option Pit</a></p> AGiovinazzihttp://www.blogger.com/profile/07870888594910366132noreply@blogger.com0tag:blogger.com,1999:blog-303939667857392252.post-3332315697182723122015-06-21T15:51:00.001-07:002015-06-21T15:51:24.329-07:00Aqumin Volatility Newsletter – 6-22-15 $SPY<p><strong><font size="3">Bidding up the Weekend</font></strong></p> <p>Greece once again takes center stage as the EU and ECB get fed up with non-compliance out of their Mediterranean neighbor. The huge rallies one day are replaced with the disappointment the next locally. For the first time in a while VIX is going up into the weekend. While Greece is a drop in the bucket in the global picture GDP-wise, it still has broader implications for the Euro and stability. The equity market hates political instability.</p> <p>The reality is that IV is up only a bit. Every rally is met with a selloff until Jun 30<sup>th</sup> when Greece defaults or not. Until then the best play has been to buy dips in volatility.</p> <p><a href="http://lh3.googleusercontent.com/-f-AqrhyXxsc/VYc_5JqycpI/AAAAAAAAAzE/9AxrdZHYzdA/s1600-h/20150621_1646114.png"><img title="2015-06-21_16-46-11" style="border-left-width: 0px; border-right-width: 0px; border-bottom-width: 0px; display: inline; border-top-width: 0px" border="0" alt="2015-06-21_16-46-11" src="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEjq_yDlTp1bh-iXLrtBIxKV87aeWxFq8A-HKaruaODrP1m0-gkPif7C9hXjgjruBwlYW31VgJd-qWOAr9qb8Z26T0tNe6PFIjOzrddZPqJvfLKClg5KJKhjE5ZVy6E7YH5PoTX35UIFNGQ/?imgmax=800" width="649" height="691" /></a> </p> <p>The best method for this would be buying just OTM put time spreads in the SPY that sell Jun 26 Weeklys. If history is any guide, we will move a bit but nothing will come of it until the following week.</p> <p><strong><a href="http://www.optionvisionpro.com/">OptionVision™</a> – data from <a href="http://www.orats.com/">ORATS</a></strong></p> <p>Read more from Andrew at <a href="http://www.optionpit.com/home">Option Pit</a></p> AGiovinazzihttp://www.blogger.com/profile/07870888594910366132noreply@blogger.com0tag:blogger.com,1999:blog-303939667857392252.post-11663901305575176022015-06-03T12:00:00.001-07:002015-06-03T12:00:56.367-07:00Aqumin Volatility Newsletter 5-29-15 $SPY<p><strong>Withering Volatility</strong></p> <p>Try as we might the volatility market cannot hold a real bid. Is there a volatility market you ask? Of course there is, it just depends on where you look. Today the VIX cash was up .63 to 13.92 as stocks sold off about .6 %. That is about normal as VIX will increase when the market falls. The question is there a demand for put options at this level?</p> <p>If you look at a 3D snap of how volatility is moving the answer is mostly in the near term. We are getting some near term pops in IV per strike, but nothing on the longer end of the curve. Until I see the long end jump I am not going to worry too much.</p> <p><a href="http://lh3.googleusercontent.com/-A_nK37sK6-w/VW9O4KkO5PI/AAAAAAAAAyc/P03wfsYmRuo/s1600-h/2015-06-01_9-09-52%25255B4%25255D.png"><img title="2015-06-01_9-09-52" style="border-top: 0px; border-right: 0px; border-bottom: 0px; border-left: 0px; display: inline" border="0" alt="2015-06-01_9-09-52" src="http://lh3.googleusercontent.com/-Q4mpoJu25SY/VW9O5jsXYJI/AAAAAAAAAyo/TsP0iotCH_Q/2015-06-01_9-09-52_thumb%25255B2%25255D.png?imgmax=800" width="616" height="657" /></a> </p> <p>Junky GDP numbers after the long winter are becoming a habit and this cycle was no exception. The second quarter will probably be better. With Greece the only real issue in the near term there is not much else to worry about. The Fed and ECB are still driving the boat and they have been known to crush the volatility.</p> <p>It is not just the VIX, but how the IV moves that matters. Long term changes in IV are more important than short term changes. Using the short term pops in volatility to buy upside broken wing butterflies for credits has been very reliable this year. Keep the terms less than 2 weeks and create the short strike around new all-time highs in the SPX.</p> <p><strong><a href="http://www.optionvisionpro.com/">OptionVision™</a> – data from <a href="http://www.orats.com/">ORATS</a></strong></p> <p>Read more from Andrew at <a href="http://www.optionpit.com/home">Option Pit</a></p> AGiovinazzihttp://www.blogger.com/profile/07870888594910366132noreply@blogger.com0tag:blogger.com,1999:blog-303939667857392252.post-13796363078417008502015-05-01T08:15:00.001-07:002015-05-01T08:18:05.558-07:00Aqumin Volatility Newsletter 05/01/15 - $SDEX $VIX<p><strong><font size="3">Rally With Morning Coffee</font></strong></p> <p>We have a mild rally this morning and it is not too surprising.  The selling this week was more like someone <em>needed to sell.</em>  Many of the big cap names were slammed, most likely to pay for bond positions that were blowing up.  The short Euro trade must be hurting a lot of folks.  Those folks should want some juice.</p> <p><strong><a href="http://www.optionvisionpro.com/"><img title="2015-05-01_10-00-39" style="border-top: 0px; border-right: 0px; border-bottom: 0px; border-left: 0px; display: inline" border="0" alt="2015-05-01_10-00-39" src="http://lh3.googleusercontent.com/-Wyhm-nYyQUo/VUOYiyasuQI/AAAAAAAAAyE/7XPVOmjFv_A/2015-05-01_10-00-39%25255B4%25255D.jpg?imgmax=800" width="638" height="602" /></a></strong></p> <p>The thing is the skew did not get steeper. Note the volatility surface in OptionVision™. The big bulges in IV were closer to the money and the OTM puts did not rise as fast. </p> <p>The SDEX is a fairly new skew product,<a name="_GoBack"></a> but is a nice indicator for steepness of skew in the 30 day cycle for the 25 delta put.  The general range is 71 for a steep skew to 61 for a flat skew.  Today the SDEX tanked to 63.31 down 1.46.  What does this mean?  Put owners were taking profits and the ATM option got bid.  Traders are looking for a move from the money not a crash to the OTM. We are getting that move this morning.</p> <p>The skew should steepen again as we rally if the ATM starts to decline (rally mode). Upside call butterflies in the big indexes will look good.</p> <p><strong><a href="http://www.optionvisionpro.com/"> OptionVision™</a> – data from <a href="http://www.orats.com/">ORATS</a></strong></p> <p>Read more from Andrew at <a href="http://www.optionpit.com/home">Option Pit</a></p> AGiovinazzihttp://www.blogger.com/profile/07870888594910366132noreply@blogger.com0tag:blogger.com,1999:blog-303939667857392252.post-61593672875872513482015-04-07T07:27:00.001-07:002015-04-07T07:27:16.393-07:00Aqumin Volatility Newsletter 4/7/2015 $VIX $SPY<p><strong><font size="3">ATM IV melts up</font></strong></p> <p>Market volatility took a bit of a ride yesterday as the pre-open smack led to, what else, a rally. We got some Fed Governor news on blaming the winter but I feel like the lame jobs report was set up on Wednesday’s ADP number. $50 per barrel oil is not creating any jobs in that sector either. The pre-open action lately has not been a very good indicator of what is going to happen during the trading day.</p> <p>If you look at the OptionVision volatility landscape in the SPY, IV was up per strike today even with the VIX up only .07. I expect some weekend effect but the bulge in the ATM volatility is usually a little telling. Note the slope of the yellow lines sloping up to the ATM. The demand for OTM puts declined today relative to the nearer the money volatility. Market players are expecting some movement but not a ton, what I refer to as “orbiting”. This generates day to day realized volatility but we really go nowhere. It was almost as if this rally deflated the skew a bit which is not really normal.</p> <p><a href="http://lh5.ggpht.com/-5C4mUqgydyk/VSPpPXF4AUI/AAAAAAAAAxo/8KY-B7jUOzI/s1600-h/4-7-2015%2525209-25-10%252520AM%25255B3%25255D.png"><img title="4-7-2015 9-25-10 AM" style="border-top: 0px; border-right: 0px; border-bottom: 0px; border-left: 0px; display: inline" border="0" alt="4-7-2015 9-25-10 AM" src="http://lh5.ggpht.com/-FHNuLjlANwQ/VSPpQpObU2I/AAAAAAAAAxw/MTbIVZd10IM/4-7-2015%2525209-25-10%252520AM_thumb%25255B1%25255D.png?imgmax=800" width="644" height="471" /></a> </p> <p>That leads to some upside volatility and ratio spreading again looks good. The OTM call condor or broken wing call butterflies for credits in the bigger indexes seem like the right idea. Keep the duration shorter. <a name="_GoBack"></a>Place the short strike above the recent all-time highs since the bulge in ATM IV tells us the orbiting market is not finished yet.</p> <p><strong><a href="http://www.optionvisionpro.com/">OptionVision™</a> – data from <a href="http://www.orats.com/">ORATS</a></strong></p> <p>Read more from Andrew at <a href="http://www.optionpit.com/home">Option Pit</a></p> AGiovinazzihttp://www.blogger.com/profile/07870888594910366132noreply@blogger.com0tag:blogger.com,1999:blog-303939667857392252.post-11417160692000671042015-03-16T08:19:00.001-07:002015-03-16T08:19:18.016-07:00Aqumin Volatility Newsletter 3-16-15 $VIX $SPY $SDEX<p><strong><font size="3">Move in VIX lacked punch</font></strong></p> <p>The IEA came out and said the bounce in oil was only temporary. That caught a lot of the oil market by surprise as many producers and drillers found new lows today. Now we are dealing with a short term, could be long term, gut in oil supplies as OPEC puts the squeeze on competitors. That was enough to foil the bank rally Thursday. The sell-off was half-hearted at best from a volatility point of view.</p> <p>Note how the IV in the SPY closed Friday. Much of the downside IV actually showed red today. That means that per strike volatility declined on a day when VIX was actually up. Another way to put it was that skew flattened on a down day in stocks.</p> <p><a href="http://lh3.ggpht.com/-KuYDg9HiDnM/VQb0azSt4jI/AAAAAAAAAxM/0gs3E7SvtGk/s1600-h/3-16-2015%25252010-15-42%252520AM%25255B4%25255D.png"><img title="3-16-2015 10-15-42 AM" style="border-top: 0px; border-right: 0px; border-bottom: 0px; border-left: 0px; display: inline" border="0" alt="3-16-2015 10-15-42 AM" src="http://lh4.ggpht.com/-VQhRgXjNvMQ/VQb0dArZ06I/AAAAAAAAAxU/BK0rFfBmalY/3-16-2015%25252010-15-42%252520AM_thumb%25255B2%25255D.png?imgmax=800" width="640" height="572" /></a> </p> <p>If you look at SDEX, which is a volatility index that measures 30 day IV on the ATM and 25 delta put options, it had a drop of .56 to 61.04. The SDEX is running in the same directions as the per strike IV, which it should. The general trend, when skew gets pretty flat and with IV in a middle tier, we should see a rally in stocks at some point.  Usually that rally will give us a further drop in IV.</p> <p>A decent idea would be to sell iron condors 60 days out into this. Stick with the bigger indexes and keep the delta flat since there is usually a bit of a lag.<a name="_GoBack"></a></p> <p><strong><a href="http://www.optionvisionpro.com/">OptionVision™</a> – data from <a href="http://www.orats.com/">ORATS</a></strong></p> <p>Read more from Andrew at <a href="http://www.optionpit.com/home">Option Pit</a></p> AGiovinazzihttp://www.blogger.com/profile/07870888594910366132noreply@blogger.com0tag:blogger.com,1999:blog-303939667857392252.post-6476656235917769012015-03-05T07:30:00.001-08:002015-03-05T07:30:39.711-08:00Aqumin Volatility Newsletter 03/04/2015 $XOM $VIX<p><strong><font size="3">The Oil Rout Looks Like It Is Slowing Down</font></strong></p> <p>This was a strange day in the market when stocks really lacked a sense of direction. For the most part the tone was down and VIX was up slightly, but the volatility futures actually finished down on the day into the close. There was really a lack of interest more than anything else as the race to NASDAQ 5000 left everyone with an empty feeling.</p> <p>The blighted oil patch seems to have hit a short term bottom. If it isn’t the bottom in prices it is the bottom in realized volatility. Note the OptionVision™ landscape set up where the Oil and Gas producers are in the foreground. Currently they lead the pack in the sector for the biggest average drop in HV10. Granted that was from a very high level, but volatility has to drop for a sector to stabilize, and we are starting to see that.</p> <p><a href="http://lh5.ggpht.com/-fnZOLXpceOw/VPh2lQmTPcI/AAAAAAAAAw0/7n95hpOSdjE/s1600-h/3-05-15%25255B4%25255D.png"><img title="3-05-15" style="border-top: 0px; border-right: 0px; border-bottom: 0px; border-left: 0px; display: inline" border="0" alt="3-05-15" src="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEio_RiJyTUujlAM8k9hLAVmld_7A7RizO0RzQ1PRkfLWXWmhBDHXShNmUBxCvtN4D_UnyYu5C2utePnBhJfbg0hmzBlQbctH7jJEJj9CLZyifo_kLhxcIHuy96mTFfnrfie8aMmXIsHKF0/?imgmax=800" width="620" height="671" /></a> </p> <p>The sea of red is just 10 day realized volatility trading below the 20 day realized volatility. The oil and gas sector is leading that average decline in realized vol.</p> <p>I think this group is ripe for selling put spreads and short vega type trades. Oil prices can stay low for a while so pick names that are less leveraged. I have XOM highlighted as a short volatility candidate, but any name in the XLE or XOP ETF’s would do. If you decide to sell a basket of put spreads, working 10% OTM <a name="_GoBack"></a>in the individual names, a downside butterfly in the XLE or XOP should hedge.</p> <p><strong><a href="http://www.optionvisionpro.com/">OptionVision™</a> – data from <a href="http://www.orats.com/">ORATS</a></strong></p> <p>Read more from Andrew at <a href="http://www.optionpit.com/home">Option Pit</a></p> AGiovinazzihttp://www.blogger.com/profile/07870888594910366132noreply@blogger.com0tag:blogger.com,1999:blog-303939667857392252.post-30952039472077522892015-02-20T13:18:00.001-08:002015-02-20T13:18:29.077-08:00Aqumin Volatility Newsletter 02-20-2015 $SPY<p><strong><font size="3">A Reversal of Risk</font></strong></p> <p>It looks like the Greek Drama happening overseas ended up being a comedy more than a tragedy. That is good for investors and good for the Greeks. We will revisit the issue in June but for now that looks like the only thing that was holding up implied volatility.</p> <p>The OptionVision™ landscape shows an interesting pattern for change in the term structure in the SPY. Essentially the back month terms are dropping in response to the ECB/Greek news but the near term upside is catching a slight bit. This means market participants are looking for IV to drop in the long term but are still wary of a move to the upside in the short term.</p> <p><a href="http://lh4.ggpht.com/-a1vRrJEgccU/VOeknkBOaNI/AAAAAAAAAwE/aMj8f-2X6AI/s1600-h/2-20-2015%2525203-14-36%252520PM%25255B4%25255D.png"><img title="2-20-2015 3-14-36 PM" style="border-top: 0px; border-right: 0px; border-bottom: 0px; border-left: 0px; display: inline" border="0" alt="2-20-2015 3-14-36 PM" src="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEiQULZ5AMCc2e6oK_PfshNdxF5jdhelKLhDoOq5TE98oijzX3SyTH-0q3rwC5aTRyvMAa99CLLPezgmR2Pi8P9QfizCs9mDWydiK6yyMcqRSn-ljWIA_1ksilG3uQk5d5VNFrQcseoe2yE/?imgmax=800" width="642" height="604" /></a> </p> <p>I don’t blame them. Stocks have had the wind at their back since the low rate regime set in around 2009. The slowness in Europe gave the Fed a reason to wait on the rate hikes and stocks will love that. That is what the end of day term structure says today. Index Iron condors look like the rage again since most of the news is out. Go 60 days out to catch the last gasp of volatility in the market but keep the deltas flat.</p> <p><strong><a href="http://www.optionvisionpro.com/">OptionVision™</a> – data from <a href="http://www.orats.com/">ORATS</a></strong></p> <p>Read more from Andrew at <a href="http://www.optionpit.com/home">Option Pit</a></p> AGiovinazzihttp://www.blogger.com/profile/07870888594910366132noreply@blogger.com0tag:blogger.com,1999:blog-303939667857392252.post-91240817307766661932015-02-02T06:46:00.001-08:002015-02-02T06:46:12.624-08:00Aqumin Volatility Newsletter 02/02/2015 - $SPY $SPX $VXX<p><strong><font size="3">Orbiting Volatility</font></strong></p> <p>Stocks ended the week in an ugly fashion with the SPX down about 1.25%. There was enough in the bad sentiment train with Greece, Euro Area deflation, poor GDP and Russia annexing another part of the Ukraine. Not the stuff of rising markets with earnings only tepid this season. So far most companies that are reporting are doing better than estimates. Not 80% to blow it out but just ok.</p> <p>Note the OptionVision™ IV landscape from Friday. There is not a hint of skew shift anywhere in the picture. Implied volatility is up across the board but the skew curve in the SPX did not change much. To me that is more of a signal of higher “orbiting volatility” than outright crash time. If traders were worried about a crash they would be bidding up the skew. After Friday there is a bid for near, at and out of the money options.</p> <p><a href="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEiaBFr-qDIunHqNNDE-zUojYyRbOSjrgfXPDCRrvBr4UEkLKU7jttc2Hdc_M-7Vn7KdeJ8Tg5FpKeJqZ_5VXmY-ZyrItk_FFnWyHam1C0rwBODPhAW66oP516AKAVmXzCH5fayNjEEWa1o/s1600-h/2-2-2015%2525208-33-51%252520AM%25255B4%25255D.png"><img title="2-2-2015 8-33-51 AM" style="border-top: 0px; border-right: 0px; border-bottom: 0px; border-left: 0px; display: inline" border="0" alt="2-2-2015 8-33-51 AM" src="http://lh3.ggpht.com/-Z-KQwon9XQk/VM-Nst59Z_I/AAAAAAAAAv0/U0yQRwMF4xI/2-2-2015%2525208-33-51%252520AM_thumb%25255B2%25255D.png?imgmax=800" width="639" height="518" /></a> </p> <p>The persistent realized volatility is coming from two places: most things happening in the USA are good and near everything in Europe is bad. That gives us the 1% rallies and the 1% selloffs. The Greek pullout means the selloffs will be a bit more frequent than the rallies until there is a settlement, whatever that might be.</p> <p>The trade is buy the dips in IV using a product like VXX. Use near the money time spreads for the high positive theta and keep the long month in March since it will cover the Greek negotiations. I think any time spread that buys March will pay to some degree as long as you can manage the gamma<a name="_GoBack"></a>.</p> <p><strong><a href="http://www.optionvisionpro.com/">OptionVision™</a> – data from <a href="http://www.orats.com/">ORATS</a></strong></p> <p>Read more from Andrew at <a href="http://www.optionpit.com/home">Option Pit</a></p> AGiovinazzihttp://www.blogger.com/profile/07870888594910366132noreply@blogger.com0tag:blogger.com,1999:blog-303939667857392252.post-83900392678558280912015-01-16T06:05:00.001-08:002015-01-16T06:05:33.368-08:00Aqumin Volatility Newsletter 01/16/2015 $XHB $KBH<p><strong><font size="3">More Volatility for Homebuilders</font></strong></p> <p>We are finishing a volatile week for global markets and it most likely will stay that way until the ECB comes up with some announcement on Jan 22<sup>nd</sup> and/or the Greeks decide to elect a new government by the end of the month. Earnings reports so far have been mediocre and without the promise of domestic QE, stocks have not been able to recover. Short term, things will stay choppy.</p> <p><a href="http://lh6.ggpht.com/-Suh8M4CJhzQ/VLkapAwoQzI/AAAAAAAAAvU/ozKT94oEL2s/s1600-h/1-16-2015%2525207-50-38%252520AM%25255B5%25255D.png"><img title="1-16-2015 7-50-38 AM" style="border-top: 0px; border-right: 0px; border-bottom: 0px; border-left: 0px; display: inline" border="0" alt="1-16-2015 7-50-38 AM" src="http://lh4.ggpht.com/-eqMzA5-hl7o/VLkaqnIMsxI/AAAAAAAAAvc/-n4WmZtv7w8/1-16-2015%2525207-50-38%252520AM_thumb%25255B3%25255D.png?imgmax=800" width="621" height="662" /></a> </p> <p>Once again I have Homebuilders leading the realized volatility averages (foreground). Oil and Gas Explorers and Producers are showing the largest relative decrease in realized volatility (back left corner). I don’t know if this is the end of the drop in oil prices but at least it is decelerating. The group even had a few stocks up on the week which is a nice showing relative to the S&P 500. The group is worth keeping an eye on now but I don’t expect any grand bounce.</p> <p>Rates in the USA continue to tick down. Why? It seems we are the only one of the big 3 tradable economies in the West that are bothering to pay interest. Germany and Japan are at or near 0. That should be good for housing as current reports have huge numbers of home refinancings.</p> <p>A trade that could work would be to take advantage of KB Home (KBH) crush and sell a just in the money put since this name has already led the Homebuilders down. Hedge with buying a put of same duration, but less money, in the Homebuilder ETF (XHB). </p> <p>With volatility so high everywhere one needs to be careful. The last time we had Homebuilders leading in relative RV it made a power move up. Past performance does<a name="_GoBack"></a> not guarantee future results, thus the slight hedge given our ugly market.</p> <p><strong><a href="http://www.optionvisionpro.com/">OptionVision™</a> – data from <a href="http://www.orats.com/">ORATS</a></strong></p> <p>Read more from Andrew at <a href="http://www.optionpit.com/home">Option Pit</a></p> AGiovinazzihttp://www.blogger.com/profile/07870888594910366132noreply@blogger.com0tag:blogger.com,1999:blog-303939667857392252.post-89761356867971419492015-01-09T12:02:00.001-08:002015-01-09T12:02:42.355-08:00Aqumin Volatility Newsletter 01/09/2015 $SPY $SPX $VIX<p><strong><font size="3">No oomph to the selloff</font></strong></p> <p>2015 is starting off as the year of many swings. For all the big daily moves in 2015, equities have not really gotten anywhere. The post-FOMC rallies are fueled by the notion of lower rates and we run. Then the sad realization of why we need lower rates hits and we sell off. The only think I can say for this year is that the swings are solid and VIX is off the basement floor.</p> <p>Even on a down day stocks cannot muster up a big move in volatility. Why? I have VIX up .42 as I write this as stocks are down around ¾%. That is an underwhelming move for VIX as it should pop around 7% for every 1% drop in SPX. Note in the OptionVision™ Volatility Landscape that the only options that have a jump in IV are some upside calls in the near term. The sea of red is a decline in strike IV across the SPY. VIX up but IV down per strike is always curious.</p> <p><a href="http://lh5.ggpht.com/-ZDKQHSRfYHE/VLAz2G1I2kI/AAAAAAAAAu8/PIwlLizCNt0/s1600-h/1-9-2015%2525201-50-53%252520PM%25255B4%25255D.png"><img title="1-9-2015 1-50-53 PM" style="border-top: 0px; border-right: 0px; border-bottom: 0px; border-left: 0px; display: inline" border="0" alt="1-9-2015 1-50-53 PM" src="http://lh5.ggpht.com/-bIJnAEjsbzM/VLAz4Cnsk9I/AAAAAAAAAvE/07mg5euttGE/1-9-2015%2525201-50-53%252520PM_thumb%25255B2%25255D.png?imgmax=800" width="637" height="619" /></a> </p> <p>There is not a lot of heft to the selloff, if we use volatility as an indicator. VIX got near even for the day at some point. The reason being is that VIX is already pricing 1% daily moves. If they don’t come for the downside, I expect we will bounce next week. There is some weekend effect holding down VIX but usually worry will overtake the decay factor. <a name="_GoBack"></a>The trades I like have been upside flies in the indexes, say SPX, with a junk protect put just in case.</p> <p><strong><a href="http://www.optionvisionpro.com/">OptionVision™</a> – data from <a href="http://www.orats.com/">ORATS</a></strong></p> <p>Read more from Andrew at <a href="http://www.optionpit.com/home">Option Pit</a></p> AGiovinazzihttp://www.blogger.com/profile/07870888594910366132noreply@blogger.com0tag:blogger.com,1999:blog-303939667857392252.post-73590700562432406582014-12-31T11:27:00.001-08:002014-12-31T11:27:09.329-08:00Aqumin Volatility Newsletter 12/31/2014 $SPY<p><strong><font size="3">Crazy Volatility Rally!</font></strong></p> <p>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.</p> <p>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.</p> <p><a href="http://lh6.ggpht.com/-2ghUJRyDBRM/VKROB-CeyEI/AAAAAAAAAuk/j_CMyrEFOUU/s1600-h/12-31-2014%2525201-16-25%252520PM%25255B3%25255D.png"><img title="12-31-2014 1-16-25 PM" style="border-top: 0px; border-right: 0px; border-bottom: 0px; border-left: 0px; display: inline" border="0" alt="12-31-2014 1-16-25 PM" src="http://lh5.ggpht.com/-xr1_SLroQnc/VKROC2nVAzI/AAAAAAAAAus/YAYmcGE4kCs/12-31-2014%2525201-16-25%252520PM_thumb%25255B1%25255D.png?imgmax=800" width="644" height="483" /></a> </p> <p>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<a name="_GoBack"></a>, maybe in a delta neutral Iron Condor catching the Jan Ordinary cycle. That will expire long before the Greek elections come to pass.</p> <p>Happy New Year!</p> <p><strong><a href="http://www.optionvisionpro.com/">OptionVision™</a> – data from <a href="http://www.orats.com/">ORATS</a></strong></p> <p>Read more from Andrew at <a href="http://www.optionpit.com/home">Option Pit</a></p> AGiovinazzihttp://www.blogger.com/profile/07870888594910366132noreply@blogger.com0tag:blogger.com,1999:blog-303939667857392252.post-11937865075487699072014-12-18T05:57:00.001-08:002014-12-18T05:57:35.179-08:00Aqumin Volatility Newsletter 12/17/2014 $XHB<p><strong><font size="3">Happy Housing</font></strong></p> <p>The stock market got a gift from the FOMC minutes release today by leaving the status quo largely unchanged.  I guess there is enough jazz in the mix with oil prices, Russian solvency and high yield debt for the Fed to chew on for a while.  There has been plenty of volatility to go around with VIX trading just over 23 today on a  run down to the 19s.</p> <p>On my OptionVision realized volatility landscape, I have rearranged things so the most volatile names on average are in the front of the 3D vol map.  The surprise is the Homebuilders are showing the most volatility over the last 10 days relative to the last 20.  You would think Energy and Oil, but those names have already been volatile so relatively speaking they were just moving like they were in the slide.</p> <p><a href="http://lh4.ggpht.com/-WUQTCMHgchs/VJLdSBfpNZI/AAAAAAAAAuM/Ore7VJm9wiM/s1600-h/12-17-2014%2525204-30-01%252520PM%25255B4%25255D.png"><img title="12-17-2014 4-30-01 PM" style="border-top: 0px; border-right: 0px; border-bottom: 0px; border-left: 0px; display: inline" border="0" alt="12-17-2014 4-30-01 PM" src="http://lh5.ggpht.com/-Tmc1_Tti4iI/VJLdTSoRY4I/AAAAAAAAAuU/rr2pls4M6cA/12-17-2014%2525204-30-01%252520PM_thumb%25255B2%25255D.png?imgmax=800" width="627" height="675" /></a> </p> <p>I read this as homebuilders got caught up in the recent market vol. and got tossed a bit more than others on average because they were so stable earlier.  Now that the rate picture is clear these should do ok.  I think a long OTM call time spread in XHB (Home Builders ETF) would work ok, or selling some OTM puts spread in a farther term cycle.  Maybe both together if you are feeling frisky.  Cheaper gas means it will be cheaper to build houses too, just saying.  </p> <p><strong><a href="http://www.optionvisionpro.com/">OptionVision™</a> – data from <a href="http://www.orats.com/">ORATS</a></strong></p> <p>Read more from Andrew at <a href="http://www.optionpit.com/home">Option Pit</a></p> AGiovinazzihttp://www.blogger.com/profile/07870888594910366132noreply@blogger.com0tag:blogger.com,1999:blog-303939667857392252.post-10662790840433917252014-12-05T07:03:00.001-08:002014-12-05T07:03:57.590-08:00Aqumin Volatility Newsletter 12/05/2014 $GDP $VIX<p><strong><font size="3">The Parking Lot</font></strong></p> <p>Ahead of the NFP number stocks have made a quiet rally this week to all-time highs. VIX is back in the 12 handle and the ECB seems to have had its fill stimulus. Really the most interesting news is the slide in oil prices and the destruction of all the E&P companies as the USA is upsetting the world apple cart for oil.</p> <p>If you look at the IV/HV OptionVision™ landscape below, note that the Oil and Gas, Energy and Mining names have been taken to the woodshed. The price of oil and the future price of oil have cut some of the stocks in half and many speculative names by more than that. Look at GDP which is now trading below book value, although I assume that book value will get re-evaluated at $65 a barrel oil. While the stock is in the tank in GDP the IV is sky high (green downward spike).</p> <p><a href="http://lh6.ggpht.com/-Y4OfrFJOWM8/VIHJV_EN2sI/AAAAAAAAAt0/84a1-8Z1a6M/s1600-h/12-5-2014%2525208-49-02%252520AM%25255B4%25255D.png"><img title="12-5-2014 8-49-02 AM" style="border-top: 0px; border-right: 0px; border-bottom: 0px; border-left: 0px; display: inline" border="0" alt="12-5-2014 8-49-02 AM" src="http://lh3.ggpht.com/-BXDF7PuT8ok/VIHJW7KWZSI/AAAAAAAAAt8/RHF9chAuqNU/12-5-2014%2525208-49-02%252520AM_thumb%25255B2%25255D.png?imgmax=800" width="638" height="561" /></a> </p> <p>I think for some of the spec stocks like GDP, a combination of short volatility in the individual name and short position in oil could make some sense. The pricing is starting to get compelling. The formation on the landscape is what we call a “Parking Lot” meaning the whole sector is for sale. Normally these are opportunities but traders need to be patient.</p> <p>Buy midterm put spreads in USO and sell OTM or ATM puts in a GDP type name to pay for it if oil keeps tanking. The short juice in GDP should pay for the short oil position if the skid stops and should allow a couple of sales in the name stock.</p> <p><strong><a href="http://www.optionvisionpro.com/">OptionVision™</a> – data from <a href="http://www.orats.com/">ORATS</a></strong></p> <p>Read more from Andrew at <a href="http://www.optionpit.com/home">Option Pit</a></p> AGiovinazzihttp://www.blogger.com/profile/07870888594910366132noreply@blogger.com0tag:blogger.com,1999:blog-303939667857392252.post-91105562602796082462014-11-26T11:00:00.001-08:002014-11-26T11:00:20.548-08:00Aqumin Volatility Newsletter 11/26/2014 $EGO $GDX $GDXJ<p><strong><font size="3">Gold might glitter again</font></strong></p> <p>Stocks are still managing to stay near their all-time highs as we wait for OPEC to deliberate on production cuts. So far there is not much in the way of news on that except for some snippets from oil ministers that <b><i>they </i></b>are not cutting. The price of oil remains in flux to put it mildly. Another commodity making some moves lately is gold.</p> <p>With the raft of easing going on between Japan and the ECB, it is a wonder that gold does not take off. What gold has done for most of the year is fall apart. Most of the gold miner indexes are near the lows. When you view that in the OptionVision™ realized volatility landscape, the miners are actually starting to bounce. On average the Metals and Mining group has the best average 1 week total return (bottom left hand sector).</p> <p><a href="http://lh5.ggpht.com/-MW96ApcZp-E/VHYjPQrBOSI/AAAAAAAAAtc/qaGm7nR0cmU/s1600-h/11-26-2014%25252012-49-51%252520PM%25255B4%25255D.png"><img title="11-26-2014 12-49-51 PM" style="border-top: 0px; border-right: 0px; border-bottom: 0px; border-left: 0px; display: inline" border="0" alt="11-26-2014 12-49-51 PM" src="http://lh4.ggpht.com/-2feHHJEQLb0/VHYjQjzbwkI/AAAAAAAAAtk/9HLeFFwzOQI/11-26-2014%25252012-49-51%252520PM_thumb%25255B2%25255D.png?imgmax=800" width="626" height="540" /></a> </p> <p>Also note that the realized volatility is declining for most of the sector, keeping with the overall pattern of realized volatility decline in the market. I selected EGO as sample miner with rising prices and declining realized volatility. This is what you want to see for a group on the mend after getting smoked for most of the year.</p> <p>With easing likely to continue, gold miners are making their way out. A good way to play this would be selling OTM puts in the GDX or GDXJ. As long as you can stomach the ETF’s down here this is not a bad way to play the record equity prices.</p> <p><strong><a href="http://www.optionvisionpro.com/">OptionVision™</a> – data from <a href="http://www.orats.com/">ORATS</a></strong></p> <p>Read more from Andrew at <a href="http://www.optionpit.com/home">Option Pit</a></p> AGiovinazzihttp://www.blogger.com/profile/07870888594910366132noreply@blogger.com0