Vix
- Thread starter amsterdam
- Start date
You're probably right, the VIX will likely move higher, the difficulty is whether it moves higher faster than what the market is pricing. If not the long vol position will be a loss.
Some would say right now is a particularly difficult time to buy vol - but then the payoff is commensurately bigger if a real event materializes and you're able to capitalize.
Hmmn.
I think for the Jul contract, 12.45 seems to be a pretty good support.
However the question becomes, do you want to catch vol now before it forms a bottom or to ride it on its uptrend?
I think for the Jul contract, 12.45 seems to be a pretty good support.
However the question becomes, do you want to catch vol now before it forms a bottom or to ride it on its uptrend?
Check the S&P 500 index. If you expect this index dive into a correction then you will see rise in the VIX.
If you expect VIX go up in long-term, then you should be expecting a stock market crash - I do not think we are looking into it at this moment.
Might not be a bad idea, even with the slow drift up in the SPX, the VIX seems to be holding it's own in a pretty tight range. As long as you are ok with the chance it could get down to single digits if we have a surge upwards. What about the /VX futures? You could put that on as a longer term play and then when we do get pops in volatility you could sell UVXY or VXX against it to hedge or leg in to a synthetic straddle.
Also take a look at the SKEW index. The CBOE SKEW Index is an index derived from the price of S&P 500 tail risk. Similar to VIX, the price of S&P 500 tail risk is calculated from the prices of S&P 500 out-of-the-money options. SKEW typically ranges from 100 to 150.
A SKEW value of 100 means that the perceived distribution of S&P 500 log-returns is normal, and the probability of outlier returns is therefore negligible. As SKEW rises above 100, the left tail of the S&P 500 distribution acquires more weight, and the probabilities of outlier returns become more significant.
With the SKEW index hitting near all-time highs today (142), the market is pricing in a larger probability of a big downside move.
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A SKEW value of 100 means that the perceived distribution of S&P 500 log-returns is normal, and the probability of outlier returns is therefore negligible. As SKEW rises above 100, the left tail of the S&P 500 distribution acquires more weight, and the probabilities of outlier returns become more significant.
With the SKEW index hitting near all-time highs today (142), the market is pricing in a larger probability of a big downside move.
<a href="http://www.optionstack.com"> Options Analysis Software Tools</a>