The Option Pit VIX Traffic Light Is Yellow: Volatility is likely to move Wildly
The S&P 500 rallied just under 30 points on Thursday with the VIX dropping .39…
The VIX drop was less than the rally on Wednesday in which the S&P 500 only dropped 7 points…
Why is the VIX so high? Short term the answer is PPI on Friday morning…
Long term, read what I wrote yesterday.
But let’s talk about Friday.
If PPI misses to the upside, the market is not going to like it.
VIX got bid for a reason…
VIX December futures are sitting on cash…we are primed to move.
If the number misses, set up for a trip back to 3600…
If the number is light…we could see 4100 on Friday, you will want long calls.
SPX options are cheap:
Realized vol has been above implied at the 29 day level since October…you can buy options and win.
When the move comes tomorrow, buy SPX options in the direction of the market.
Your Only Option,
Mark Sebastian