Monday, March 1, 2010

Market Review 3/1/10

The S&P was up 1% today, VIX was down to 19.26, VIX futures came down as well. The April VIX futures went from 23.5 to 23. On Friday I argued the the VIX futures term struture is too steep. Today the April VIX fell more than the Mar VIX lowering the spread between the two.

There was some notable volume in the Mar 20 and Apr 20 VIX put options. Benzinga reported a large (25,000) March 20 straddle trade as well.

Interestingly the implied volatility in the Mar VIX put options increased over the past few days while the Apr put and call options implied volatility was relatively stable.
For example, the Mar 22.5 put options IV increased from 81% to 90%, while the April 22.5 puts IV stayed at 64%.

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