On Monday I bought back into XIV at 138.87, it doesn’t appear that the market will follow last Friday’s plunge. Instead we are getting more of a snap-back like we had on the mini-correction starting January 19th. On Tuesday, bought SPY at 129.71 and sold-to-open S130 weekly calls expiring this Friday (4-Feb) at $0.57 for a net debit of 129.14. .
VIX was touching / very close to the lower 2 sigma Bollinger band this morning, so I sold my XIV position at 150.13. Bought some IEF (Barclays 7-10 Treasuries) at 93.80 because it was near the low end of its current trading range, will go ex-dividend next week (1-Feb) with a dividend of around $0.24/share, and tends to go up if equities go down. Later …
With no fanfare whatsoever Schwab has added support for weekly and quarterly options on all of their current trading platforms: Schwab.com, StreetSmart Pro, and StreetSmart.com. I thought we would have to wait for the new StreetSmart Edge. See this link for CBOE’s currently offered weekly options. At least on StreetSmart Pro the option greeks on the non-standard options appear to be computed correctly. Instead …
ProShares’ competitors to Barclays’ VXX and VXZ now have options available on them. With VIXY’s and VIXM’s average daily volumes of 50K and 10K respectively it seems premature, but I guess if you are going to compete with the market leader you need all the pieces. It will be interesting to see how wide the bid/ask spreads will be on these options. NEW OPTIONS CLASSES …
There is an interesting post in Volatility Futures and Options that projects XVIX performance back 5 years. It addresses a couple of things more analytically than I did in my recent post. Specifically how did UBS pick the 0.5 short factor it uses with short term volatility, and how stable has that factor been over time. .
