Blog Archives

A Fine Line

March 14, 2011

Good morning. Despite a rally last Friday (after news of the disaster in Japan) the S&P closed down 1.63 (1.2%) to end a fairly volatile week. The VIX was up 5.3% to close at 20.07. Putting the VIX move into real numbers, we had been doing some long premium spreads in the SPY for those in the PIP program when the price of the weekly at the money straddle (SPY@ 132, the combined price of the 132 call and 132 put) was roughly 1.50 with 4-5 trading days to go.

Egypt

January 31, 2011

Good morning. A significant sell-off last Friday left the SPY down slightly on what had been a positive week, with the SPY closing down .65 for the week at 127.72 (.5%). The VIX closed up 8.7% but still was not that elevated at 20.07. Most of the Friday sell-off was attributed to the spreading political issues in the Middle East (as well as F, AMZN, and MSFT earnings), as uncertainties surrounding the future of Egypt and the Suez Canal took center stage. As of now, to the extent that anyone can predict the outcome of unrest due to 30 odd years of heavy-handed rule, the situation does not look dire or likely to spread rapidly or violently to the surrounding countries.

Social and Economic Health

August 31, 2009

Good morning. Sort of an inside week for the market last week, what we in the business would call a premium sellers dream. The SPY was up a whole .41 on the week, moving from 102.97 to 103.38 (.4%). The VIX was down a little, from 25.01 to 24.76, not much of a drop considering how little movement there was. For those looking to buy long term put protection, as we do in the PIP Program, the cost for at the money put protection for December of 2011 is in the 15.5-17% of the underlying range for 28 months.