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Volatility Arbitrage (ARB)

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Moderator: No Moderator dr_sean
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Last Post: 6/29/2008 8:55:53 PM - Followers: 3 - Board type: Free - Posts Today: 0
welcome aboard ......... #msg-21893006 .......... VIX ~ Related Blogs and News ..... #msg-21913723 reference material ....... #msg-21893945 .......... VIX ~ VIX Options ~ VIX Futures .. #msg-21913753 futures links ............... #msg-22717004 .......... ES / NQ ~ futures charts ............. #msg-22394990 vol related tickers......... #msg-21913798 CFE daily market statistics: http://cfe.cboe.com/data/CFEMktStat.aspx CFE delayed daily quotes. : http://cfe.cboe.com/DelayedQuote/SSFQuote.aspx Charts: Indices: SPX #msg-22657801..........NDX #msg-22657843 VIX.. #msg-22045398...........RUT #msg-25697437 Vol Indicators: VIX ~ QQV ~ pocket charts.... #msg-22045382 CPC ~ CPCE ~ CPCI ~ charts #msg-22104100 VIX ~ doc's charts.................. #msg-22123888 Pairs arbitrage: Indices: RUT / SPX comparison chart #msg-22689542..........NDX / SPX comparison chart.. #msg-22689582 OEX / SPX comparison chart #msg-22689594..........INDU / SPX comparison chart #msg-22689611 Please use this board for the discussion of options pricing and volatility. Should you scan out / closer examine any underlying stocks/indexes/ETFs/etc and find some options trading at peculiar prices, or trading with unusual volume (thus lifting the implied volatility), this is what we would like most to discuss. Feel free also to comment on stock market volatility as a whole, measured most typically by the CBOE S&P 500 volatility index (VIX), as we will provide much material on that as well.
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#473   ya back to posting on ihub yet? malice 06/29/08 08:55:53 PM
#472   VIXEE or VIXED? Stock 04/28/08 10:37:47 AM
#471   #msg-28534324 not fully understanding the mechanics of VIX Myself °¿° 04/21/08 10:21:25 AM
#470   NTRI ~ out 200 @ 18.32 today dr_sean 04/08/08 10:30:18 AM
#469   NDX / SPY ~ NDX did not have dr_sean 03/20/08 05:19:03 PM
#468   LEH tanking nicely dr_sean 03/19/08 04:07:43 PM
#467   think LEH might be the next one to dr_sean 03/19/08 12:11:52 PM
#466   LEH dr_sean 03/19/08 12:11:22 PM
#465   yesterday was another wild one. VIX lost $5 bucks! dr_sean 03/19/08 12:10:48 PM
#464   what a crazy day! SPX up 40 points! dr_sean 03/11/08 04:19:19 PM
#463   VIX never got to 30 on that tear down... dr_sean 03/11/08 01:22:54 PM
#462   Important changes affecting March 2008 options: SPX, DJX, dr_sean 03/11/08 01:22:29 PM
#461   VIX not all that exciting...#msg-22045398 dr_sean 03/07/08 01:14:39 PM
#460   VIX Loses Some of Its Volatility dr_sean 03/06/08 11:32:00 AM
#459   NTRI ~ another fill dr_sean 02/29/08 12:30:41 PM
#458   Some people can't be content with arbitrage. dr_sean 02/22/08 09:14:49 AM
#457   SocGen Took 16 Days, 28 People to Uncover dr_sean 02/22/08 09:13:23 AM
#456   NTRI ~ that was fast dr_sean 02/21/08 01:47:33 PM
#455   RIMM ~ up 10 bucks today ~ yikes! dr_sean 02/21/08 01:21:40 PM
#454   NTRI ~ GTC limit for 100 @ 15.35 dr_sean 02/21/08 01:21:00 PM
#453   Keeping Pace with Constantly Changing E-minis Stock 02/21/08 12:49:29 AM
#452   RIMM ~ out of the vertical dr_sean 02/20/08 02:37:55 PM
#451   AAPL ~ calender spread long dr_sean 02/19/08 03:24:14 PM
#450   VIX cash ~ interestingly, up while the market dr_sean 02/19/08 12:49:10 PM
#449   RIMM ~ trades on OE day dr_sean 02/19/08 12:48:26 PM
#448   RIMM ~ long 1 Mar 08 93.375p @ 5.15 dr_sean 02/14/08 01:20:50 PM
#447   RIMM ~ currently 95.95, just hope it holds dr_sean 02/14/08 01:07:06 PM
#446   DJX ~ the Feb 08 131p now trades dr_sean 02/14/08 01:05:43 PM
#445   RIMM ~ crap 97.7 a/h is it going dr_sean 02/14/08 01:23:22 AM
#444   RIMM ~ short 1 Feb 08 95p @ 1.08 dr_sean 02/13/08 03:50:08 PM
#443   RIMM ~ in 1 Mar 08 100p @ 8.25 dr_sean 02/13/08 03:37:47 PM
#442   VIX futures dr_sean 02/13/08 11:12:52 AM
#441   Merrill's Goldsmith Quits for Khosla's Hedge Fund, People Say dr_sean 02/12/08 05:49:22 PM
#440   XEO ~ no fill dr_sean 02/12/08 05:46:13 PM
#439   DJX ~ no fill. dr_sean 02/12/08 05:46:03 PM
#438   DJX ~ think it's overdone dr_sean 02/12/08 01:36:44 PM
#437   XEO ~ day limit to dr_sean 02/12/08 01:03:27 PM
#436   just got back from Chicago yesterday. What dr_sean 02/12/08 12:35:18 PM
#435   VIX ~ yesterday (Feb 11) @ 10:10am, dr_sean 02/12/08 10:20:13 AM
#434   VIX ~ out 1 VIX Feb 08 25c dr_sean 02/06/08 03:40:08 PM
#433   GOOG hanging back around that 500 mark... dr_sean 02/06/08 03:24:55 PM
#432   VIX ~ out 1 VIX Feb 08 25c dr_sean 02/06/08 03:18:50 PM
#431   VIX ~ both of those orders filled yesterday dr_sean 02/06/08 11:37:48 AM
#430   market down 250 and i can't sell the dr_sean 02/05/08 01:06:57 PM
#429   Have another sell order @ 2.75, and another dr_sean 02/05/08 10:02:08 AM
#428   VIX 25c they are pulling the floor out dr_sean 02/05/08 09:56:02 AM
#427   VIX ~ out 1 VIX Feb 08 25c dr_sean 02/05/08 09:55:10 AM
#426   sold now VIX calls today but if we dr_sean 02/04/08 05:47:58 PM
#425   VIX futures / VIX / SPX / OEX: dr_sean 02/04/08 05:42:41 PM
#424   VIX is up substantially over the VIX futures; dr_sean 02/04/08 11:26:42 AM
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