Daily Options Report

Looking at BXM vs. SPY over the past 6 month's, something else stands out. The entirety of the SPY outperformance occured during the early stages of the market rally, a roughly 7 week stretch from mid-March into early May. I split the BXM vs. SPY performance in the graphs here coneniently at the moment SPY outperformance peaked.

It makes sense in that over half the market lift occured in that early stretch. But it's noteworthy that the best volatility you could have sold was the first. The VIX was in the mid to high 40's in mid March, and has trended down ever since. So in other words, buy-writing at the moment volatility hit it's peak over the past 6 month's was the single worst time to actually buy-write. At least in terms of relative performance as that was the single best time to simply just buy.

It's counterintuitive, but high volatility is often a time not to buy-write, whereas low volatility is often a great time for it.