11 Mar 2010

Ratio Ratio, Part 2

by: Adam Warner at 9:37AM comments

It's a Very VIX World as we all know, but it's far from the only volatility index out there. Among others we have RVX, a proxy for Russell options. Can we learn much comparing Russell vo; to the Good Ole VIX? Steve Place has this to say.

One relationship I’ve been watching was the relationship of smallcaps and the S&P. The rule of thumb is that when smallcaps are outperforming, that means there is an appetite for risk and beta-chasing in the market, and upside momentum should follow. However,...

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11 Mar 2010

Ratio Ratio

by: Adam Warner at 6:55AM comments


Saw a couple interesting looks at ratios involving the VIX recently, one I agree with and one, well, no as much. Let's start with the latter.

Ashraf Laidi takes a look at the SPX/VIX ratio, and has this.

Exactly fifty two weeks after the S&P500 hit its 12-year lows at 666, the index rose 68%, driving down the VIX near January's 19-month lows. Much analysis has been done on equity indices and the VIX on the S&P index options. But the relationship between the two merits...

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10 Mar 2010

Lenny Update

by: Adam Warner at 2:59PM comments

Life's A Journey, and the ride is more enjoyable when you don't have those pesky lawyers to deal with. Lenny wants out (of bankrupcy)!

Former baseball star Lenny Dykstra, who filed for Chapter 11 protection last July, now wants a bankruptcy judge to dismiss his case, claiming he doesn’t belong in bankruptcy.

“Bottom line, you don’t belong in bankruptcy when you have $100 million in assets,” Dykstra said Tuesday in a telephone interview.

And who can argue with that logic? Well, one pesky...

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Some action from yesterday via Cuttone and Company

CF Industries Holdings, Inc. (CF $100.63 last) traded lower after a  Credit Suisse conference in London was somewhat muted. Traders looked to the options market to hedge some longs as the March puts were active. The March 85/90 put spread was purchased 4500x for a $0.48 premium. Puts outpaced calls as 25,000 traded vs. 13,000 calls.

OSI Pharmaceuticals, Inc. (OSIP $57 last) gained ground after a story that the bid may rise as Astellas Pharma...

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10 Mar 2010

Volatility Chart Du Jour: BIDU

by: Adam Warner at 6:29AM comments

Well, one important thing that TV never tells you about volatility is that it can happen on the upside too. Especially in violent breaks to the upside. Volatility is about uncertainty, and when a stock hits new highs, or even just breaks above a comfortable range, you can see some options chasing.

BIDU however will have none of this options squeeze I speak of. The stock itself makes new highs every 3 minutes, but the high price tag hides the fact that it's quite the orderly run up. Options at...

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by: Adam Warner at 1:51PM 6 comments

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by: Adam Warner at 10:18AM 6 comments

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by: Adam Warner at 6:57AM 6 comments

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by: Adam Warner at 2:15PM 6 comments

As Good As Gold VIX

by: Adam Warner at 9:51AM 6 comments

Spreadin’ The VIX

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Fast, Accurate, Actionable, Unbiased

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Danica Top?

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