Option trading in the United States has decreased 23 percent compared to October (see Bloomberg article). During market moves, it would normally seem to make sense that market moves might cause... read more »
As we said to the members this morning, when all your historical studies are broken or unhelpful and the market is behaving inexplicably, there’s really only one sensible way to think about capital... read more »
It is unusual to see the markets bounce off of a bottom and the VIX still continue to climb, but that is exactly what has happened over the past few minutes, with the VIX up to 80.35. This divergence... read more »
VIX options expire tomorrow morning in a VIX special opening quotation (SOQ) and with only one hour of trading left today VIX calls that are still almost two dollars out of the money (November 75... read more »
As representatives of the G20 assemble in Washington to discuss the state of the global economy, this seems like a good time to take the wraps off of the VIX and More Global Volatility Index. Without... read more »
One year ago the CBOE launched the VXV, which is a variant of the VIX that calculates implied volatility in SPX options over the course of the next 93 days instead of the 30 day time window used by... read more »
We often refer to the complementary nature of iron condors and calendar spreads, in that the former benefit from falling implied volatility, while the latter generally get a boost from rising IV. So... read more »
This post will be more complicated than most I write, but I think folks interested in the VIX and volatility and what they tell us about the markets will find this to be a new (and I hope useful)... read more »
This strategy buys the market when participants are overly fearful, and shorts the market when participants are overly complacent. In this study, we use the ratio of one-month to three-month... read more »
