Today' VIX % change

IV_Trader · May 30, 2006

IB scanner shows a 30% spike in vols for VIX , SPX and DOW , while vols change for ANY of the indices components isn't above 15%. What is wrong with this picture ?

riskarb · May 30, 2006

Huge 20d otm put buys skewing the mean.

IV_Trader · May 30, 2006

Quote from riskarb:

Huge 20d otm put buys skewing the mean.

that what I thought , thanks for confirming , Risk.
Very attractive conditions for long dispersion

momoneythansens · May 30, 2006

Yes, it's getting there! Waiting patiently

Wonder if you've seen this IV: http://www.risklatte.com/volatilityToday/volatilityToday050721a.php

It talks about dispersion trading from a correlation point of view under certain circumstances.

Quote from IV_Trader:

that what I thought , thanks for confirming , Risk.
Very attractive conditions for long dispersion

IV_Trader · May 30, 2006

Quote from momoneythansens:

Yes, it's getting there! Waiting patiently

Wonder if you've seen this IV: http://www.risklatte.com/volatilityToday/volatilityToday050721a.php

It talks about dispersion trading from a correlation point of view under certain circumstances.

nope , never saw this one ; thanks for the link , MO

volatilitypimp · May 30, 2006

digesting weekend decay played another factor to the perceived larger spike.

momoneythansens · May 30, 2006

Agree, but normally after a 3 day weekend the time travel IV manipulation would have been played out by the end of the resuming day to bring us back to the present.

Quote from volatilitypimp:

digesting weekend decay played another factor to the perceived larger spike.

cnms2 · May 30, 2006

It's the fear and the greed, not the decay "slow digestion".

EqtTrdr · May 30, 2006

wow.. though my quote was wrong...

VIX up 30% in one day..lol

EqtTrdr · May 30, 2006

seems like been free money call selling/put buying as p/c ratio been high for 3 weeks now.....