Author Archive
-
Worst ETN Ever
Daily Options Report, Adam Warner | December 17th, 2009 at 7:43 am
OK, maybe this isn't the worst ETN ever, but it's pretty pathetic.
Yes, we're talking VXX, the ETN that tracks a perpetual 30 day future in the VIX. It's a perfect storm of awful for this thing. It came into existence in late January, about 6 weeks before the market bottomed and the started an inexorable march lower.
-
RIMM On The Way
Daily Options Report, Adam Warner | December 16th, 2009 at 7:53 am Lots of buzz about RIMM earnings this go around, at least judging by the anecdotal tell of me getting a few emails to give it a look,
So let's dig in.
-
Let go My VIX Call
Daily Options Report, Adam Warner | December 15th, 2009 at 7:52 am SPY had a roughly 60 cent range all day yesterday, but that overstates the excitement. From about 11:30 AM on the range was only 30 cents. Yes, 30 cents. That's like less than a rounding error. It's some early holiday cheer.
-
On That Amazon
Daily Options Report, Adam Warner | December 14th, 2009 at 7:53 am So just played around with a Kindle for the first time. Awesome. Might start reading some "so-called" books now.
read more... -
Back to School
Daily Options Report, Adam Warner | December 10th, 2009 at 7:56 am That put/call disparity may be telling you something says a new academic paper (hat Tip Abnormal).
-
Upon Further Review
Daily Options Report, Adam Warner | December 8th, 2009 at 8:11 am Was thinking even more about the silliness of the Bloomberg piece.
The thesis is based on 1 observation that happened 10 years ago, the last time 1 year SPX options had such a large volatility disparity to nearer term ones. And what happened then? Well, the market stayed strong for 5 more month's and then had a major top. Did the options disparity have anything to do with that? I really doubt it, I'm sure there was a bevy of coincidental data.
-
Cash For Less Gold
Daily Options Report, Adam Warner | December 7th, 2009 at 7:57 am At the mall last week we're sitting at the food court and a notice an ad on the table telling me I could cash my gold at some kiosk and Shop Till I Drop. Or something like that. Should have known that was a sign of something.
-
Shop Till You Drop
Daily Options Report, Adam Warner | December 3rd, 2009 at 8:01 am While I'm OK with holding longer term options for a directional play, I'm rarely big on holding shorter term one's. I'd need to really have an opinion that they underprice current volatility, and I'd honestly be more likely to feel that way at higher prices than I would wallowing here.
-
Looking Longer Term VIX
Daily Options Report, Adam Warner | December 2nd, 2009 at 10:10 am Spent a lot of ink noting that options volatility in general has consistently overpriced realized stock volatility. And likewise, it's difficult and potentially expensive to call turns in volatility. But perhaps we're near the lows.
-
The Year of Brazil
Daily Options Report, Adam Warner | December 2nd, 2009 at 7:52 am So who "won" 2009? Probably Brazil. Aside from winning the 2016 Olympics, they saw their market soar over 120% this year, as per Morningstar. (hat tip Abnormal)
-
Rock The VIx Bah
Daily Options Report, Adam Warner | December 1st, 2009 at 7:08 am Apparently the consensus about Dubai was that it was much ado about nothing. I heard some fading faders say that "well, if everyone is sure it's nothing, maybe it's something". I suppose there's some merit to that Nero Fiddling sort of argument, but it's also possible the consensus is correct. Not every crisis has to have massive spillover, we just have one that did fresh in our memory banks.
-
Red Friday
Daily Options Report, Adam Warner | November 29th, 2009 at 11:03 pm We interupt the 2008 Volatility Melt to bring you a special Volatility Explosion.
Remember the old "10% Rule" in the VIX. When the VIX is 10% below (above) the 10 Day MA, it's considered oversold (overbought) and bearish (bullish) for the market. Well amazingly, by this loose definition, the VIX traversed from (almost) oversold to (barely) overbought in one session. Let me put that in caps for emphasis. IN ONE SESSION. That's really rough to do, I mean you need a greater than 20% lift and you need it to start at oversold.
-
All VXXed up
Daily Options Report, Adam Warner | November 23rd, 2009 at 8:28 am So with a holiday fast approaching, one could reasonably expect some divergence between VIX and VXX. After all VIX estimates volatility on the SPX options board, and when holiday's approach, traders lower bids to account for the slow stretch of time ahead. And that has the effect of lowering volatility in the calculation.
-
A Long December?
Daily Options Report, Adam Warner | November 20th, 2009 at 9:21 am So if we've learned one thing this week, it's that pre-anticipating pins rarely works well. I mean even with yesterday's mini-excitement, it's still not a volatile week. Yet of the stocks we've highlighted this week, most flipped towards a strike that looked unlikely as recently as Tuesday night.
-
Pin Follow-up
Daily Options Report, Adam Warner | November 19th, 2009 at 8:21 am So how do those early pin thoughts look now? After all, this was all of yesterday.
