As predicted, the speed of the market and the speed of the fall in volatility grinded to a halt today. The VIX was essentially unchanged, and the markets were mostly mixed. I am expecting to have a day similar to today leading into the unemployment numbers. The VIX is certainly no longer over bought; however, I would not say that it is over sold either. If we continue to move at a pace of 6-10 points a day in the SPX I would expect the VIX to fall back to 17ish. I believe the impending employment number is holding up implied volatilities right now. Based on the numbers from today, I don’t think the market is going to move very much on the news. I could certainly see a situation like last month where the market was predicting no movement, and then the numbers produced no movement. I am playing this by being short the meat and long the wings right now on a few positions. I am short front month vega and long theta. For some reason I am feeling a calm market for the next few day.
On the AAPL front, I am looking into a bullish play; I might try an OPTION911 bull put spread. I have to look a little more at AAPL before I do anything though.
AAPL Chart
Underlying Data
| Symbol | Close | Change |
| VIX | 21.68 | +0.20 |
| BTU | 45.00 | +0.74 |
| IBM | 125.66 | +0.13 |
| WLP | 64.07 | -0.98 |
SPX Price Chart for Feb 3, 2010
BTU Summary
| -20 | BTU | JUN10 | 55 Call | @ | 2.25 | Currently | 1.27 | = | -20 | * 100 * |
0.98
|
=
|
+$1960 |
| 12 | BTU | MAR10 | 48 Call | @ | 3.30 | Currently | 1.16 | = | 12 | * 100 * | -2.14 |
=
|
-$2568 |
| TOTAL UNREALIZED LOSS IS (excluding commissions) |
-$608 | ||||||||||||
 |
 |
IBM Summary
| 12 | IBM | FEB10 | 125 Put | @ | 0.94 | Currently | 1.85 | = | 12 | * 100 * |
0.91
|
=
|
+$1087 |
| 12 | IBM | FEB10 | 140 Call | @ | 0.74 | Currently | 0.03 | = | 12 | * 100 * | -0.71 |
=
|
-$847 |
| -10 | IBM | FEB10 | 130 Put | @ | 2.28 | Currently | 5.28 | = | -10 | * 100 * |
-3.00
|
=
|
-$2995 |
| -10 | IBM | FEB10 | 135 Call | @ | 2.03 | Currently | 0.08 | = | -10 | * 100 * | 1.95 |
=
|
$1950 |
| TOTAL UNREALIZED LOSS IS (excluding commissions) |
-$805 | ||||||||||||
 |
 |
WLP Summary
| 20 | WLP | FEB10 | 65.0 Put | @ | 1.60 | Currently | 2.13 | = | 20 | * 100 * |
0.53
|
=
|
+$1060 |
| -20 | WLP | FEB10 | 67.5 Put | @ | 2.40 | Currently | 3.88 | = | -20 | * 100 * | -1.48 |
=
|
-$2950 |
| 2 | WLP | MAR10 | 75 Call | @ | 1.30 | Currently | 0.23 | = | 2 | * 100 * |
-1.07
|
=
|
-$214 |
| TOTAL UNREALIZED LOSS IS (excluding commissions) |
-$2104 | ||||||||||||
 |
 |
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{ 1 comment… read it below or add one }
Hi Mark,
yep, I would’ve thought we’d have had a do-nothing day today (2/4), ahead of the employment report, but here we are, crashed down before the report — maybe on the knowledge that the report ain’t gonna be so hot?????? Sooooo, is it logical to sell premium today (there was a positive Feb Mar skew a little while ago, but it has dissipated) and collect the rewards tomorrow when the vol comes out after the “news”?? If the market moved this bad ahead of the news, maybe the report will not have any effect tomorrow???
Michelle B — Skyline queen