Comportamiento del vix - opciones
Buenos días a tod@s,
Publico este e-mail que recibí ayer pues hace mención a hechos bastante curiosos en el comportamiento del Vix en las últimas semanas (contratos de futuros de Setiembre muy sobrevalorados respecto a Octubre y Diciembre sin aparente explicación ni precedente)
Además altísima volatilidad implícita en las opciones sobre el SP500, vencimiento Marzo/2012
¿Qué quiere descontar el mercado americano?
Saludos y buen trading
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Condor Options
Link to Condor Options
Thoughts on the VIX Futures Term Structure
Posted: 19 Aug 2011 12:25 PM PDT
Here are the VIX futures at 3PM ET on Friday the 19th.
click to enlarge
A few things stand out to me:
Backwardation forever: I don’t have all my data at hand, so I don’t know where recent turmoil ranks historically in terms of time that the VIX futures have spent in backwardation. My guess is that this isn’t the all-time record, but that it is a contender. That five point difference between September and November is incredibly rich if the world doesn’t end in the next few weeks; otherwise, it’s a great bargain. The trade is to sell, like, one September contract and buy one or two Novembers (where you might normally trade five or ten), and to set a hard stop.
Christmas cheer: December is priced a full point below both Nov. and Jan. What gives? I know the holiday season is a bit quieter, but that seems like an unusual difference.
Prediction: in March 2012, the implied volatility for April 2012 SPX options will not be 29%. It might still be 23% or 25% if we get more fireworks later in the year, but not 29%.
Flatness: we’re all focused on the backwardation in the front part of the curve, but when was the last time the non-near term months were this flat? There’s no rational agent model or utility function that makes sense of this. What brings it all into focus is the model based on that time we all got drunk the night before our SAT exams and then ran out of time on the back half of the math section, so we just filled in the same answer for a bunch of questions before the clock ran out.
I find myself caring less and less about the spot VIX. Maybe it’s because kids on Twitter keep confusing $VIX for some kind of technical analysis holy grail, or the occasional CNBC guest who acts like you can trade the spot level, or just because the actually tradable products provide more meaningful information in my opinion.