It would appear that AMZN, INTC and MSFT kicking the earnings door in is not quite enough to move the QQQ as it is up .01 as I write this at 2pm ET on a quiet Friday. With much of the big earnings reporting, banks, tech and oil, one would think that VIX would have a bit more of a reaction. Today we are getting a .72 drop with only a slight drift lower in all the VIX futures.
For the first time in a week the VIX cash is settling lower, or appears to be, with VIX futures just barely responding. The drop back into a normal type of contango is usually the sign of lower volatility except… those darn AAPL earnings. I think we set up next week for a nice vol crush after the May 01 AAPL release.
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There are a few choices to sell vol but now that we are in contango some cheap VIX puts could work ok. I would stick with the May cycle, something like the VIX May16 16 put for 1.10 since in is already .50 or so ITM.
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