We got lucky the last time we posted on volatility, Monday Nov. 8th's "More VIX ETN's Coming: Can they Get Here by Thursday? (VXX)". By Veteran's Day (Thurs.) the market (DJIA) fell 1% and continued lower with the cumulative loss at 4% by the 16th.
It's not going to be that easy this time but it is something to be aware of over the next ten days.
Here's a quick hit from What's Trading:
Call buyers in the CBOE Volatility Index (.VIX) today, as the index falls to 84 to 16.55 and hits its lowest levels since April. One player bought 10,000 December 40s at 2 cents each and might be closing a trade ahead of next week’s VIX expiration. A 10,000 block of Mar 40 calls was bought at 85 cents, 10,000 January 40 calls at 15 cents, 10,000 Jan 35 calls at 27.5 cents, and 10,000 Jan 30 calls at 45 cents. 200000 calls and 72000 puts traded on the volatility index through midday.Meanwhile, VIX and More writes:
VIX and Put to Call Ratio Snapshot
There has been a good deal of discussion about recent high put to call ratios across the blogosphere lately, including in my post yesterday, Rohan Clarke on the VIX and Put to Call Ratios.Here are our volatility posts from last month:
Given all the interest in the subject, I thought it would be an opportune time to share a simple chart of both that I often refer to. The graphic below captures the VIX (solid black line) and a 10-day exponential moving average of the CBOE equity put to call ratio (CPCE), which is show as a dotted red line.
Note that these two indicators are generally highly correlated....what else, MORE
Followup to "Citigroup, Inc. Begins Trading Their New Citi Volatility Index Total Return ETN Today" (CVOL; TVIX; VIX)
Citigroup, Inc. (NYSE:C) Begins Trading Their New Citi Volatility Index Total Return ETN Today (CVOL)
More VIX ETN's Coming: Can they Get Here by Thursday? (VXX)