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VIX futures / VIX / SPX / OEX: delayed 10m
VIX/G8 (VOLATILITY INDEX 2/08) 25.20 +0.25
VIX/H8 (VOLATILITY INDEX 3/08) 24.92 +0.26
VIX/J8 (VOLATILITY INDEX 4/08) 24.75 +0.05
VIX/K8 (VOLATILITY INDEX 5/08) 24.24 0.0
VIX (CBOE MARKET VOLATILITY) 25.19 +1.17
.SPX (S&P 500 INDEX) 1387.16 -8.26
.OEX (S&P 100 INDEX) 642.54 -3.76
Thanks for that information Doc!
Important Changes affecting February VIX, VXN and RVX Options
Because the last trading day for SPX, DJX, NDX, and RUT options will be moved up a day in March, the settlement date for VIX, VXN and RVX options will also be moved up a day to Tuesday, February 19, 2008. This will ensure that a thirty-day volatility measurement period occurs between that settlement date and the March 2008 expiration for the options series used to calculate the underlying volatility indexes. The last trading day for February 2008 VIX, VXN and RVX options will be on Friday, February 15, 2008 because CBOE will be closed on Monday, February 18, 2008, in observance of Presidents' Day.
So why is vol getting smashed when the market isn't up that much??? Complacent traders combined with weekend sellers??? What else is on the agenda next week??
VIX futures / VIX / SPX / OEX: delayed 10m
VIX/G8 (VOLATILITY INDEX 2/08) 25.12 -0.52
VIX/H8 (VOLATILITY INDEX 3/08) 24.80 -0.51
VIX/J8 (VOLATILITY INDEX 4/08) 24.80 -0.35
VIX/K8 (VOLATILITY INDEX 5/08) 24.25 -0.53
VIX (CBOE MARKET VOLATILITY) 24.67 -1.53
.SPX (S&P 500 INDEX) 1384.95 +6.40
.OEX (S&P 100 INDEX) 642.41 -0.65
VIX ~ my 1.75 order did get filled yesterday.
Then, today, got another fill:
in 1 VIX Feb 08 25c @ 1.5
now holding 8, avg = $2.1875
GOOG $523 down $42
VIX futures / VIX / SPX / OEX: delayed 10m
VIX/G8 (VOLATILITY INDEX 2/08) 25.64 0.0
VIX/H8 (VOLATILITY INDEX 3/08) 25.31 0.0
VIX/J8 (VOLATILITY INDEX 4/08) 25.15 0.0
VIX/K8 (VOLATILITY INDEX 5/08) 24.78 0.0
VIX (CBOE MARKET VOLATILITY) 25.57 -0.63
.SPX (S&P 500 INDEX) 1381.03 +2.48
.OEX (S&P 100 INDEX) 642.20 -0.86
Jan unemployment rate 4.9%
Jan nonfarm payrolls -17,000
chopped off a lot of that market premium
SPX now baking in a fat premium thanks to the MSFT/YHOO deal ~ ES futures up 14 to 1393.5...
GOOG looking to open down about 30-35ish bucks this morning...see what that does for the market...
VIX futures:
VIX/G8 (Feb contract) settled 25.64 -.50 on the day
meanwhile spot VIX closed 26.20 -1.42
I guess since VIX Feb contract is already expecting VIX to go down up to the expiration, it had less to lose.
Worked for me...
futures market thinks this sell on volatility is overdone
maybe the move is index puts and not so much VIX calls...since when VIX spikes it looks as if the futures will no that's overdone too...
only difference is...decay!
VIX futures:
VIX/G8 (VOLATILITY INDEX 2/08) 25.77 -0.37
VIX/H8 (VOLATILITY INDEX 3/08) 25.50 -0.06
VIX/J8 (VOLATILITY INDEX 4/08) 25.50 -0.05
VIX/K8 (VOLATILITY INDEX 5/08) 24.67 -0.60
{spot} VIX (CBOE MARKET VOLATILITY) 26.69 -0.93
VIX ~ order in today for another Feb 08 25c @ 1.75 see if it fills
VIX futures:
VIX/G8 (VOLATILITY INDEX 2/08) 25.60 -0.65
VIX/H8 (VOLATILITY INDEX 3/08) 25.15 -0.10
VIX/J8 (VOLATILITY INDEX 4/08) 25.00 -0.39
VIX/K8 (VOLATILITY INDEX 5/08) 24.50 -0.61
{spot} VIX (CBOE MARKET VOLATILITY) 26.00 -1.32
VIX ~ just got another fill
in 1 VIX Feb 08 25c @ 1.95
now holding 6, avg = $2.375
original position #msg-26340332
VIX ~ got 2 fills after the Fed decision
in 1 VIX Feb 08 25c @ 2.25
in 1 VIX Feb 08 25c @ 2.2
now holding 5, avg = $2.46
original position #msg-26340332
XLE/XHB pairs trade has come back in a big way! #msg-25501810
that has been a great play so far...
DIA / SPY the discrepancy still exists...gonna paper trade it
VIX ~ did get a fill for 1 VIX Feb 08 25c @ 2.5 today
other 2 are from 2.6 / 2.75 #msg-26340332
avg = $2.616666
VIX futures:
VIX/G8 (VOLATILITY INDEX 2/08) 26.30 +0.14
VIX/H8 (VOLATILITY INDEX 3/08) 25.33 -0.04
VIX/J8 (VOLATILITY INDEX 4/08) 25.20 -0.03
VIX/K8 (VOLATILITY INDEX 5/08) 25.11 -0.02
{spot} VIX (CBOE MARKET VOLATILITY) 27.26 -0.52
VIX missed an entry on the plunge this morning as the market opened up big...
DIA / SPY ~ looking at the pairs trade: time to sell DIA / buy SPY??? Man I wish I was a full time arbitraguer that could be fun...
note to self ~ politics article ~ Ben Steiny: read
thanks pantera #msg-26314730
http://www.nytimes.com/2008/01/27/business/27every.html?_r=1&scp=1&sq=ben+stein&st=nyt&oref=slogin
VIX ~ that's my call: give us 30 again this week.
VIX doc's chart sell it over 30 {40?} buy it under 20 seems fun
then what am I doing buying @ 27??? High up in that range.
I only got 2 maybe I'll go heavier on a VIX selloff...
Get that 25c for...$1? Would be nice.
VIX futures:
VIX/G8 (VOLATILITY INDEX 2/08) 26.16 -0.59
VIX/H8 (VOLATILITY INDEX 3/08) 25.15 -0.65
VIX/J8 (VOLATILITY INDEX 4/08) 25.42 -0.32
VIX/K8 (VOLATILITY INDEX 5/08) 25.05 -0.58
{spot} VIX (CBOE MARKET VOLATILITY) 27.78 -1.30
VIX still trading @ a discount for the future assuming less fear than is currently the case. What we'll happen to these prices if we retest the lows? that is the question in my mind as we approach the Fed mtg.
Bought 2 VIX Feb 08 25c's today out flat 1 @ 2.75 1 @ 2.60 both in the afternoon. Orders to flip @ 3.50 / 4.00 / 5.00 contigent upon the time {4.00 up to Fed decision time, 5.00 after}
Think the market might not like the cut as much as ppl assume. And vol is getting a little cheap relative to past prices...
VIX futures:
VIX/G8 (VOLATILITY INDEX 2/08) 26.50 +0.07
VIX/H8 (VOLATILITY INDEX 3/08) 25.50 +0.16
VIX/J8 (VOLATILITY INDEX 4/08) 25.40 -0.02
VIX/K8 (VOLATILITY INDEX 5/08) 25.48 +0.28
I've traded my calender position and it's now totally different. Managed to escape all of my calenders for nice profits and into new ones that are now moving against me.
VIX futures have been trading wildly lately. Lots of credit calender opportunities. Beware though!
DS, agree and "most rewarding" as well.
It is not often that I can see the true intentions of the Q's move but following its ups and downs has given its fruits. As the Bible warned:
Unstable as water, thou shalt not excel.
So focusing only in the Q pushed me to begin the OE period both with calls and puts at 46. In the down movement I removed the profitable part (puts) and voila, that profit has paid for the 46 calls !. Price moved in 3 days an unsual percent which demanded buying also calls at 44 which we closed yesterday.... yes I think we go up a bit more, but it is also important to take profits often to be prepared for the inevitable losses along the way, right ?
Now, if wer are right, let me stress IF, then we should not see 43.65 any time soon, and how prices behave around 45.35 will confirm or neagate those expectations...
Still, you may have notice that the price oscillations are wider now than used to be, so a visit to 46 is what I'd expect.
If we are wrong, we have those 46 calls for quick bear call spread, right?
4cast High:45.49 Low:44.64, so my personal challenge is how to position myself having not time to sit behind the screen all day...
good trades
haha been interesting huh?
Well, so far we had:
- the revisit(s) expected to 46.46
- a close below 46.67
- and today we were close to the next atention line 45.37 with a 45.46 , so the whole menu I´d say.
My bias (today) is:
favouring a close around 46.88, I´d expect we´ll finish the OE period in the range 47.31 and 46.67. Now, is that realistic ? well a few times since 2003 had the Q a percentage movemement as big as we have for this period 11.9%, hence my expectation of not closing lower than 46.67 until next friday. Then again that´s only probability, if we did close below that someday next week, then a new low target of 45.37 (S10) would be expected. The weekly % movement also would point to a revisit of 46.46. so let´s be careful and that is why is a must to have up and down plans ready to be executed.
Wouldn´t be Machiavellian that the week is strongly bearish to force the FED a rate cut ?
Good trades
what do you think now that we got what we did today?
throws a curveball in the works doedn't it?
DS, I think st bottom is in as a short covering would be in the horizon, for today was expecting a down close at 47.56 but based on Perc. Mov. I think a down day is negated and we should have a range around 47.9 - 48.93 being 48.65 an attention point. Unfortunately not time at all to day trade for me.
good trades
I have been flipping in and out of spreads a lot now.
Earlier today bought another Jan 49p and then just minutes ago sold a Jan50p against it.
Will update more after the bell.
Back in school this week & it's caused me to be a lot busier...
good stuff, now
when are you exiting your positions ? did u do your math to take profit to diminish cost of still open ones? could u share what are your trigger levels?
Thanks & good trades
QQQQ ~ trades today & position
VIX futures:
VIX/F8 (VOLATILITY INDEX 1/08) 24.07 -0.61
VIX/G8 (VOLATILITY INDEX 2/08) 24.79 -0.51
VIX/H8 (VOLATILITY INDEX 3/08) 24.48 -0.53
VIX/J8 (VOLATILITY INDEX 4/08) 24.45 -0.38
VIX/K8 (VOLATILITY INDEX 5/08) 24.10 -0.55
So the Mar/Feb spread moved .02 against me, to .31 now
the May Q4/Mar spread moved .17 against me, to .35 now
needs to get better!
was lucky enough to flip some Q puts today, for profit...
not added time value, so much as cost to carry. the difference is the excess $$$ you could receive in treasuries between the current time & the time to expiration.
yep sean, i understand its around like 1:20 Direct leverage i believe (too lazy to do calculaions)thats why i like futures for scalping, options w/ a delta of 1 (or -1) generlly offer less leverage in that regard than futures
i have another question, how come lets say the NQ8Z futures are priced higher than the NQ8H, i know the initial margin is the same and essentially they cost the same to purchase, but how come the actual price discrepency? do futures have an added time value to them? The NQ8H are 1974 and the NQ8Z are 2054. i remember before december expiry, the NQ futures were like 1-2 points off of the NDX, so i'm thinking it has to be some time value, right?
1) more or less, yes
2) it's a protection thing. They don't want you laying too much on the line there...relative to your capital
nevermind about the second question sean. i was an idiot and forgot that leverage is based on the notional value, so obviously the initial margin for something like NQ would more than the underlying.
hey sean how's it been man. you should stop by the HSM chat once in a while :D
i got 2 questions:
would the price of the NQ futures correspond w/ the NDX?
and how come for TOS i can only buy about 25 NQ contracts per 100k practice account?
QQQQ ~ day lmt 2 Jan 49p @ .79 hopefully I get a fill and then can sell 50puts against it Monday...
VIX futures:
VIX/F8 (VOLATILITY INDEX 1/08) 24.39 +0.97
VIX/G8 (VOLATILITY INDEX 2/08) 25.00 +0.48
VIX/H8 (VOLATILITY INDEX 3/08) 24.98 +0.67
VIX/J8 (VOLATILITY INDEX 4/08) 24.88 +0.62
VIX/K8 (VOLATILITY INDEX 5/08) 24.99 +0.78
So the Mar/Feb spread is -.02 now
the May Q4/Mar spread is approximately .1 now
looks okay...
Feb not up too much today while all the other months are...
hahaha yeh I've been thinking the same thing! When I added those calls just a bit ago, I should've faded puts on the bounce, and then sold puts against them on the fall. Well we'll see how I deal w/ it here I really don't like trading the Qs, but now I want a roar out of this whole to get back some losses...and I think I'll get it.
We'll see!
DS, it is looking good indeed
Ds following your q plays I wonder how are you going to deal with the bounces, it seems to me you'd need some puts in your scheme to quickly build a bull put spread ??
you're lookin good to the downside TT. Nice job there.
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