Equity markets were up as the uncertainty about Japan seem to resolve, and volatility markets were down. Implied volatility in the VIX options also fell, and skew has declined significantly. While I think the thread of radiation leak and consequences are still a real possibility, VIX and VSTOXX do not reflect it as an issue. My plan is to trade defensively this week, adding gamma whenever seems reasonable.
GVZ futures had their debut on Friday, trading a total of zero contracts. I created a plot using settlement values. I really hope that CBOE will figure out a way to bring liquidity into the product, but I'm pessimistic that it will happen.
Subscribe to:
Post Comments (Atom)
Weekly market report
Wall st delivered a mixed bag of news with VIX, VNKY, and VSTOXX and their underlying markets almost unchanged. VXD - volatility index based...
-
As I am sure all of you know Russia has began a full scale war against my home country Ukraine. Please make no mistake - Putin's goal ...
-
Yesterday I found another piece of ignorance on Medium: Stop Watching The VIX, Just Make Your Own tl;dr : Just use ATM straddles 🤦 This is...
-
The biggest news this week is that Deribit is moving ahead with launching futures on their DVOL Bitcoin volatility index. Like with every ne...
No comments:
Post a Comment