Author Archive

• Where I Justify Going Long Gamma in X
  Daily Options Report, Adam Warner | January 21st, 2010 at 9:41 am

  

  OK, interesting little dichotomy here in X. The ATR, which essentially measures realized volatility, is at a 6 month high. Options volatility however sits at 52 week lows in all but the shortest of time frames.

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• Gold In Them Options
  Daily Options Report, Adam Warner | January 20th, 2010 at 7:41 am

  

  Can't hammer home the point enough that as bad as VIX looks, it's STILL above the historical volatility of SPX.

  But there's about a billion other spots where we can look at volatility. Like GLD here. As Ryan Renicker ofTiconderoga Securities notes, implied volatility here is actually in line with realized volatility.

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• Quick VXX
  Daily Options Report, Adam Warner | January 19th, 2010 at 2:56 pm

  

  On a typical day, VXX captures about 40-50% of the VIX move. A day like today on the heels of a long weekend tends to see the net move of the VIX skew upwards. That's because traders lower bids of actual index options ahead of long weekends so as to not needlessly pay extra time decay. So it's entirely possible that VXX gives a truer picture of the volatility move today.

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• Leave Pinnning To the Bowling Alley
  Daily Options Report, Adam Warner | January 19th, 2010 at 7:33 am

  

  For a variety of reasons, playing for pins, or even just worrying too much about them, is a waste of time. Yes they happen, but it's not like there's some gigantic Vampire Squid pushing and pulling each stock to a price they find desirable. Even if such a Vampire Squid existed, we wouldn't know what price they want everything. Yes you can look at open interest, but it's not the be all and end all and it doesn't attract a name from 3 strikes away.

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• Friday VIX Roundup
  Daily Options Report, Adam Warner | January 15th, 2010 at 10:07 am

  

  So even though the VIX did not stage that magical reversal posited by the Evil Speculator, we do have some interesting points here.

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• Or Not To Pin
  Daily Options Report, Adam Warner | January 14th, 2010 at 7:49 am

  

  In lieu of this month's pin rundown I present .....yesterday's move in BIDU.

  Want an abject lesson in not gaming pins too early?

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• Time To Throw the Panic Switch?
  Daily Options Report, Adam Warner | January 13th, 2010 at 8:49 am

  

  OK, here's some fodder for you VIX chart-a-holics via The Journal (Hat tip Ryan at Ticonderoga).

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• X Marks The Spot
  Daily Options Report, Adam Warner | January 11th, 2010 at 9:12 am

  

  We have no jobs and we don't need any more cars. But we need some steel!

  X was one of the first options I traded on the AMEX. It was 20 years ago, and at the time they owned both US Steel and Marathon Oil and Carl Icahn was in his Greenmail Prime and involved.

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• More Coiled Springs
  Daily Options Report, Adam Warner | January 5th, 2010 at 10:48 am

  

  Well, could probably keep changing the name and run a chart that looks just like this every day for a year. But I assume by that point some of these pups will have broken one way or another.

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• A New Day
  Daily Options Report, Adam Warner | January 4th, 2010 at 7:49 am

  

  January's here, and as we all know, the move in the last 10 minutes of the year before predicts the move the first week of the new year. Which as we know is a perfect indicator of what will happen this year! So time to back up the option's truck!

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• Absolutely No POT Double Entendre In This Headline
  Daily Options Report, Adam Warner | December 30th, 2009 at 7:52 am

  

  So I spent about 90% of my time at the desk yesterday (about 12 minutes) running some charts to see if I can find a spot without an utterly dead volatility picture.

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• Masterful
  Daily Options Report, Adam Warner | December 28th, 2009 at 7:30 am

  

  Well, you don't need me to tell you volatility is extremely low right now, at least relative to the last 16 month's or so. But is it time for the Dispersion Trade? By that I refer to the trade where you buy options gamma in individual names vs. shorting it in index names. You win if your individual names more around enough and with relatively low correlation such that the index does not move quite as much. Of course few outside a trading desk has either the time or capital to put on too many names in this fashion, so it's more a concept than anything else. And the concept is more or less net owning options in individual stocks and net selling them in indices.

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• Hey 19
  Daily Options Report, Adam Warner | December 23rd, 2009 at 7:51 am

  

  Now given that I've noted here, there and everywhere (or at least here and my book) that December in general and late December in particular are awful times for volatility ownership, I'm not surprised that the VIX has turned into a teenager. And set 16 month lows in the process. We've harped often how even in the low 20's, volatility was not cheap compared to realized volatility in SPX.

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• Tip of the Hand
  Daily Options Report, Adam Warner | December 22nd, 2009 at 10:32 am

  

  So let's say it's expiration and you have short options near the money. The best idea is clearly to just cover them and let someone else earn that last dime or nickel. But let's say for whatever reason you let nature take it's course.

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• Beward the Early Pin Call
  Daily Options Report, Adam Warner | December 21st, 2009 at 7:30 am

  

  Didn't go all pin-posty (yes, that's a real word) this go around. So as such, we missed this POT here, right to the 105 strike.

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