livevol_ophir
ET Sponsor
This keeps me up at night...
In the recent weeks of market volatility, the hyper focus has been on global economies. In the short-term what's going to happen with Europe and the Euro Zone? Is the US immune? Is the "jobless" recovery going to sputter?
The short term focus has revealed a longer term trend in the options market. I'll discuss four companies, a tech bell weather (AAPL), the largest "bricks and mortar" retailer (WMT), the largest online retailer (AMZN) and the largest bank (BAC). The <a href="http://www.livevol.com">LIVEVOL™ Pro Summaries</a> are below.
<img src="http://4.bp.blogspot.com/_hMry1m7UF10/S_1mWO38WBI/AAAAAAAACmQ/fbHOrLEJWBM/s1600/aap_amzn_bac_wmt_summaries.gif">
The monthly vol term structure for each is included below (<a href="http://livevol.blogspot.com/2010/05/future.html">in the article</a>).
I've highlighted the front month and Jan 2012 vols. Notice for each that the current vol is <i>lower</i> than the back. This is pretty unusual and is symptomatic of the majority of the market.
The Skew Tab snap for WMT with just Jun and Jan '12 is included <a href="http://livevol.blogspot.com/2010/05/future.html">in the article</a>.
I've circled the ATM vols. You can see how much higher Jan '12 is relative to Jun.
A week ago we saw a 45 VIX with IV30™ of 167 (i.e the vol of vol). The VIX has come down 33% and the iv in the VIX has dropped 60 points as well.
<img src="http://4.bp.blogspot.com/_hMry1m7UF10/S_1nSRvf_eI/AAAAAAAACm4/d5h6YOurg-Y/s1600/vix_summary_52610.gif">
While the near term end of the world scenario has eased up (for today at least), the back months are not as much. <a href="http://livevol.blogspot.com/2010/05/future.html"> In the article</a> you can see the vol changes for this month and Jan 2012 of our four test cases today. These are all negative moves (vol is down today). I have omitted the "-" sign for ease of reading.
We're seeing 12%-16% vol drops today in the front months, but only 3%-5% drops in the back. The option market is implying a volatile future... Not for the next month or two. Not into Fall... This is out to January 2012.
This is trade analysis, not a recommendation.
Details, prices, vols, skews here:
http://livevol.blogspot.com/2010/05/future.html
In the recent weeks of market volatility, the hyper focus has been on global economies. In the short-term what's going to happen with Europe and the Euro Zone? Is the US immune? Is the "jobless" recovery going to sputter?
The short term focus has revealed a longer term trend in the options market. I'll discuss four companies, a tech bell weather (AAPL), the largest "bricks and mortar" retailer (WMT), the largest online retailer (AMZN) and the largest bank (BAC). The <a href="http://www.livevol.com">LIVEVOL™ Pro Summaries</a> are below.
<img src="http://4.bp.blogspot.com/_hMry1m7UF10/S_1mWO38WBI/AAAAAAAACmQ/fbHOrLEJWBM/s1600/aap_amzn_bac_wmt_summaries.gif">
The monthly vol term structure for each is included below (<a href="http://livevol.blogspot.com/2010/05/future.html">in the article</a>).
I've highlighted the front month and Jan 2012 vols. Notice for each that the current vol is <i>lower</i> than the back. This is pretty unusual and is symptomatic of the majority of the market.
The Skew Tab snap for WMT with just Jun and Jan '12 is included <a href="http://livevol.blogspot.com/2010/05/future.html">in the article</a>.
I've circled the ATM vols. You can see how much higher Jan '12 is relative to Jun.
A week ago we saw a 45 VIX with IV30™ of 167 (i.e the vol of vol). The VIX has come down 33% and the iv in the VIX has dropped 60 points as well.
<img src="http://4.bp.blogspot.com/_hMry1m7UF10/S_1nSRvf_eI/AAAAAAAACm4/d5h6YOurg-Y/s1600/vix_summary_52610.gif">
While the near term end of the world scenario has eased up (for today at least), the back months are not as much. <a href="http://livevol.blogspot.com/2010/05/future.html"> In the article</a> you can see the vol changes for this month and Jan 2012 of our four test cases today. These are all negative moves (vol is down today). I have omitted the "-" sign for ease of reading.
We're seeing 12%-16% vol drops today in the front months, but only 3%-5% drops in the back. The option market is implying a volatile future... Not for the next month or two. Not into Fall... This is out to January 2012.
This is trade analysis, not a recommendation.
Details, prices, vols, skews here:
http://livevol.blogspot.com/2010/05/future.html
