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Get Ready VIX Fans

Posted by Scott Murray on April 13, 2013
Posted in: Uncategorized.
Symbol Contract Month Time Last Change Open High Low
VX J3-CF S&P 500 VOLATILITY April2013 16:11:00 12.79 -0.36 13.35 13.62 12.75
VX K3-CF S&P 500 VOLATILITY May2013 16:11:00 14.21 -0.29 14.65 14.80 14.20
VX M3-CF S&P 500 VOLATILITY June2013 16:10:59 15.22 -0.23 15.55 15.77 15.20
VX N3-CF S&P 500 VOLATILITY July2013 16:10:36 16.04 -0.26 16.40 16.57 16.00
VX Q3-CF S&P 500 VOLATILITY August2013 16:10:40 16.74 -0.21 17.05 17.23 16.70
VX U3-CF S&P 500 VOLATILITY September2013 16:10:09 17.44 -0.21 17.73 17.88 17.40
VX V3-CF S&P 500 VOLATILITY October2013 16:09:41 17.98 -0.27 18.24 18.40 17.95
VX X3-CF S&P 500 VOLATILITY November2013 16:08:57 18.47 -0.18 18.75 18.85 18.47
VX Z3-CF S&P 500 VOLATILITY December2013 16:01:59 18.85 -0.15 18.99 19.10 18.85

No one expects even a hiccup in May. It stands to reason, that this kind of thinking and lack of preparation implies that there will be one. Every May for years has been troublesome, IF there has not been a down month preceding it in the prior six months. Go back decades, this set-up for May and June is amazing.

S&P4-12

 

Puts on the QQQ, SPY, DIA, IYT, XRT, XLF, are all attractively price with very low implied volatility. Put calendars during earnings are also excellent opportunities, as you can sell the high IV in the front contract and own the May or June contract at a fraction of the cost.

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