So AAPL reports tonight. And the public is so nervous about what St. Stephen might say that the options trade at about a 52 week low in volatility terms. Yes that's correct, 52 week lows ahead of news. You don't see that too often unless you look at something like KO. Now we have a few t ... R ... Read more

As we face another day that may have an up VIX and up SPX, it's time for a weekly reminder that these are strange times in VIX-land. Despite the early strength, the VIX remains over 4 points below August futures. This disparity has persisted for a while as the VIX churns around 25 while Augus ... Read more

Well, despite a rather slow session yesterday, we have some very interesting developments in volatility land. This, from Jason Goepfert (who I hope doesn't mind that copied over his chart, please click thru). Options expert, and unofficial (though enthusiastic) VIX bikini spokesman Adam W ... ... Read more

If you're sitting here watching the screens each day you'd likely feel as if market volatility has picked up the past few weeks. I certainly do. Except it's not. The chart above shows 10 day HV for SPY over the past half year, and it has actually started dribbling again towards 15, which is a ... Read more

Haven't had a chance to view this myself yet, but apparently it's Jane Wells sitdown at Chez Lenny. HT anonymous commenter in the post below. Also, the letter is officially legit as Todd sent me this link to a Philly.com article that got Lenny's confirmation ... Read the full post ... Read more

Got some bearish bets going on yesterday in XRT, via OptionMONSTER. The first set of big trades is a bearish " butterfly spread " in July. In one trade, 25,000 of the July 22 puts were bought for $0.05, 50,000 of the July 24 puts were sold for $0.10, and 25,000 of the July 26 puts were b ... Read more

As we well know, VIX is not the only measure of Fear in town. CSFB has one too, based on the skew of the SPX options board. Can we glean anything when the two tell different stories? Jason Goepfert suggests yes. So CSFB created a new index that compares the premiums in calls versus puts, di ... Read more

So I'm looking at AAPL and seeing options volatility at 9 month lows in the mid 30's. And the stock right around recent highs. I'm thinking it's a nice time to buy some options gamma with a bearish tilt. So I bought some puts on the 145 line and shorted OTM's on a ratio. Still paid a little ... Read more

Ron Rowland sheds some more color on these new Macroshares (hat tip Abnormal ). I believe those statements are extremely misleading. There is no asterisk pointing to the disclosures. Here are just a few of the reasons why these securities will not track the S&P/Case-Shiller Com ... Read t ... Read more

So what's doing in VIX products these days? Upside buying in August says Jamie here. Big 3:1 on Friday where the customer sells 1 Aug 32.5 call vs. buying 3 August 45 calls. As Jamie points out, he'll need the VIX over 49 to make some coin on it. But of course we know not what he has on againt ... Read more