While it appears the VIX is heading back to 26 or 27. That does not appear to be the case for some volatility indexes.
Take a look at VOLQ:
The new QQQ ATM (at-the-money) Vol index shows a clear sign that the implied volatility for ATM options in the QQQ has been trending up over the last few weeks.
In fact, it never really sold back off after the September blow up.
Could it be earnings from the Big 5?
We do have earnings at the end of the month.
No, I think this is a sign that there is a palpable increase in ATM option buying.
Not just because of earnings, but because traders seem to think the straddle for QQQ is too cheap.
Looking at trailing HV (historical volatility)
The straddle has NOT been expensive. The recent 10 day historical vol continues to trade below the 30 day. That’s opportunity to grab folks!
The VIX light is Yellow.
Your Only Option,
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