Week in Volatility

Stock Indexes were mostly down, but spot volatility was down as well. In fact it is surprising how low VIX got on Friday: closed at 15.32, intraday low was below 15! I took the opportunity to buy back a lot of options on cheap and reduce my haircut. Unfortunately at this time I don't see trades with good risk/reward ratios, my plan for the upcoming week is wait and see.

GVZ options debuted on Tuesday, and traded 70 contracts. Futures had no trades this week, open interest is unchanged at 8 contracts. The term structure of futures is practically unchanged for the week, but that means little since there is no trading activity.



at

1 comment:

  1. Anonymous4/24/2011

    Great work!

    I think VIX will go much lower that this... careful out there

    ReplyDelete

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...

  • Simple Trick to Convert Volatility
    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 ...
  • Volatility and Price of a Straddle, Are They The Same?
    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...
  • DVOL Futures
    The biggest news this week is that Deribit is moving ahead with launching futures on their DVOL Bitcoin volatility index. Like with every ne...