SUB-15 VIX SPELLS A CONTINUATION OF THE BREAK IN PREMIUM SELLING
Ugh. In spite of abysmal non-farm payrolls, the week ended with the VIX still in sub-15 territory, meaning that less than 45 DTE premium selling in the broader indices is "off the table" for another week in the absence of something earth-shaking occurring in the markets here. This could come in the form of the most recent "Brexit" referendum poll, which shows the "Brexit" vote moving into a narrow lead over the "Bremain" constituency, albeit with a fairly large number being currently undecided (43% Brexit; 40% Bremain; 17% unwilling to commit to a camp). (GPBUSD is off 100+ pips in early Asian trading; the Euro, largely unfazed).
Aside from broader market instruments, there is nothing popping in the ETF space or in individual underlyings for me to play. My "picky" standards are for an implied volatility rank of 70% plus, a greater than 50% implied volatility, and relatively high options liquidity, and there hasn't been an underlying that meets those criteria in several days.
GDX and GDXJ, however, continue to flirt with an implied volatility rank in the 50-65 range, which could easily have them pop to the forefront here and make them playable in the next several days depending on what happens with gold here (it popped on the poor non-farm's).
And so, I continue to watch for a bit and manage the trades I've got on now. Here's what I'm gandering at:
FXE/EURUSD: With the Euro, I'm looking for price to revisit 1.14+ to get in short via an FXE directional play (so pissed that I missed that spike to EURUSD 1.16), but I want to wait and see how the Brexit uncertainty plays.
TBT/TLT: People just don't want to give up their treasuries here, in spite of the fact that we're quite close to all-time highs in the S&P. In a tightening environment, the general notion is to short treasuries, but if TLT is here at this point in the S&P's trajectory, where's it going to be if the market engages in a modest corrective dip? Higher, so best to wait for TLT to digest the crappy non-farm's for a directional play short or, inversely, a directional play long in the inverse TBT.
VIX/VIX Derivatives: The long vol trade has been disappointing, to say the least, in the short term. Volatility has absolutely caved and contangoized instruments like VXX and UVXY have given up even more. However, there still might be long vol opportunity here, but I'm going to be awfully picky since I already have some long VXX trades on. I'm still looking for the golden sub-12 "moment" in VIX to go long in that instrument with something akin to what I set up in VXX -- a poor man's covered call with the back month far out in time and deep in the money and the front month at the 75% probability out of the money strike. Naturally, we may never get there ... .
Oil: I'm looking for short opportunities if I can get them or, in the alternative, a premium selling play on high implied volatility in one of the oil ETF's (XOP, OIH). It looks sideways or consolidative here, and the implied volatility in the ETF's I ordinarily play isn't enough to bother with yet ... .
Aside from broader market instruments, there is nothing popping in the ETF space or in individual underlyings for me to play. My "picky" standards are for an implied volatility rank of 70% plus, a greater than 50% implied volatility, and relatively high options liquidity, and there hasn't been an underlying that meets those criteria in several days.
GDX and GDXJ, however, continue to flirt with an implied volatility rank in the 50-65 range, which could easily have them pop to the forefront here and make them playable in the next several days depending on what happens with gold here (it popped on the poor non-farm's).
And so, I continue to watch for a bit and manage the trades I've got on now. Here's what I'm gandering at:
FXE/EURUSD: With the Euro, I'm looking for price to revisit 1.14+ to get in short via an FXE directional play (so pissed that I missed that spike to EURUSD 1.16), but I want to wait and see how the Brexit uncertainty plays.
TBT/TLT: People just don't want to give up their treasuries here, in spite of the fact that we're quite close to all-time highs in the S&P. In a tightening environment, the general notion is to short treasuries, but if TLT is here at this point in the S&P's trajectory, where's it going to be if the market engages in a modest corrective dip? Higher, so best to wait for TLT to digest the crappy non-farm's for a directional play short or, inversely, a directional play long in the inverse TBT.
VIX/VIX Derivatives: The long vol trade has been disappointing, to say the least, in the short term. Volatility has absolutely caved and contangoized instruments like VXX and UVXY have given up even more. However, there still might be long vol opportunity here, but I'm going to be awfully picky since I already have some long VXX trades on. I'm still looking for the golden sub-12 "moment" in VIX to go long in that instrument with something akin to what I set up in VXX -- a poor man's covered call with the back month far out in time and deep in the money and the front month at the 75% probability out of the money strike. Naturally, we may never get there ... .
Oil: I'm looking for short opportunities if I can get them or, in the alternative, a premium selling play on high implied volatility in one of the oil ETF's (XOP, OIH). It looks sideways or consolidative here, and the implied volatility in the ETF's I ordinarily play isn't enough to bother with yet ... .