BY ANDREW GIOVINAZZI
March 26, 2024
Yo Pit Crazies,
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This is an odd Monday strike with stocks down and VIX up only .12.
Normally VIX is up .60-.80 because of the Weekend Effect on a Monday.
That effect is traders lowering option premiums early, essentially rolling the date forward on their computers effectively reducing the implied volatility (IV) of the options.
Cheaper options with the same amount of time to expiration show up as a lower IV.
Good Friday is this week, which is a rare Friday holiday. Did the traders lower the IVs already for next week?
Let’s find out.
If VIX does not pop on a Monday, that is a net drop in IV
I know this sounds odd, but the slight increase in VIX on Monday should have been much more. That means the liquidity provider is still depressing options prices today because the Friday holiday is this week.
All the options expiring post Friday are getting the dates moved forward in time a bit. That will depress options prices but appear to be a lower IV on today’s calendar date.
Iron Condors might play well in the big indexes for Mid-April cycles. Close them mid-next week.
To Your Trading Success,
-AG
Andrew Giovinazzi
30-Year Trading Pro
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