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Everyone Must Be Dying to Short VXX

Posted by Scott Murray on April 18, 2013
Posted in: Uncategorized.

Well, wait a minute. You may be right (well, in the long run you will always be right), but in the short run, the futures are not respecting historical volatility:

Symbol Contract Month Time Last Change Open High Low
VX K3-CF S&P 500 VOLATILITY May2013 16:37:43 17.20 0.74 16.05 17.40 15.95
VX M3-CF S&P 500 VOLATILITY June2013 16:37:43 17.50 0.71 16.45 17.63 16.40
VX N3-CF S&P 500 VOLATILITY July2013 16:37:42 17.90 0.71 17.00 17.98 16.93

Everyone should know the vol rule of 16. 1% daily volatility Cialis Online should mean a VIX of 16, the 16x rule. Thus, an index move of 2% should imply a VIX of over 30.

Why is the S&P moving 1-2%/day and witnessing a VIX of 16?

Bad planning and bad trading. The vol on DIA options in June is still 11. These still are great value.

If you feel like you’ve missed the boat, don’t worry. The right shoulder is about to be put on, and those puts will still be really cheap relative to reality math.

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