Sorry!! The article you are trying to read is not available now.
Thank you very much;
you're only a step away from
downloading your reports.

Next Volatility Wave About to Hit?


VIX at levels not seen since August.

Editor's Note: This post is courtesy of OptionMONSTER.

Even as the S&P 500 breaks up to new 7-week highs, the VIX stubbornly remains above 40.

The VIX is down again today, losing 2.4%, but is still at 41.27. The SPX is up 2.8% to 833.80, putting us just above the highs of one week ago. The two indexes traditionally trade in inverse proportions.

The April VIX future is up at 42.25, with May at 42 and June at 41.20, both above the spot VIX value as well. The 20-day historical volatility for the SPX is above 46%, and traders appear unwilling to sell volatility much below that level, which is keeping the VIX from dropping more.

The historical volatility of the VIX is down to 86%, near its lows. The implied volatility of the VIX options is down to new lows since August, at 61%.

This is one of the lowest readings we've seen, and since volatility tends to come in waves, this makes me a bit nervous. It means that everyone believes the VIX won't move very much - and the last time we saw that was in late August.

In memory of our fallen friend and trusted colleague, Bennet Sedacca, 100% of the donations made to the RP Foundation through April will be channeled to philanthropic endeavors consistent with the RP mission, working closely with the Sedacca clan in the distribution of those funds. We thank you kindly for your support as we strive to effect positive change in the lives of children.
< Previous
  • 1
Next >
No positions in stocks mentioned.

The information on this website solely reflects the analysis of or opinion about the performance of securities and financial markets by the writers whose articles appear on the site. The views expressed by the writers are not necessarily the views of Minyanville Media, Inc. or members of its management. Nothing contained on the website is intended to constitute a recommendation or advice addressed to an individual investor or category of investors to purchase, sell or hold any security, or to take any action with respect to the prospective movement of the securities markets or to solicit the purchase or sale of any security. Any investment decisions must be made by the reader either individually or in consultation with his or her investment professional. Minyanville writers and staff may trade or hold positions in securities that are discussed in articles appearing on the website. Writers of articles are required to disclose whether they have a position in any stock or fund discussed in an article, but are not permitted to disclose the size or direction of the position. Nothing on this website is intended to solicit business of any kind for a writer's business or fund. Minyanville management and staff as well as contributing writers will not respond to emails or other communications requesting investment advice.

Copyright 2011 Minyanville Media, Inc. All Rights Reserved.

Featured Videos