Editor’s Notes

Market and time worked together

A second losing session, smaller than Thursday's

A return to neutrality

Index decline outweighed the other factors of the session

Direction outweighed time

Time and Volatility Outweighed a Falling Market

A Quiet Day Is the Best Day for a Volatility Seller

The Nasdaq-100 fell 1.39% while the equal-weight RSP rose 0.60%: this was a rotation out of the largest technology names rather than a retreat from risk. The 10-year…

Short Volatility Delivered a Gain for the Account

Lower Volatility Outweighed the Market Move

The market is rising, and so is volatility. Since September 18 the Nasdaq-100 has gained about 4%, while the VXN volatility index rose from 19.3 to 22.5 points (October…

Tail volatility in the upper wing of the surface, at strikes above the current price, rose for most of the week. It peaked on the morning of October 2: after a soft…

The October 1 session was another day of rising implied volatility in the wings of the surface. Volatility moved in both directions through the day. The most telling…

The September 30 session was calm. Implied volatility at longer tenors continued to rise, while volatility in the upper wing of the surface, at strikes above the current…

The September 29 session was marked by subdued realized volatility, yet the market is already pricing the risk of upcoming events into option premiums. Implied…

The September 28 session offered a clear illustration of how the strategy performs in a two-way market.

This was a difficult week and the weakest since the beginning of the strategy’s public track record. Several factors contributed to the result, and each provided useful…

Yesterday’s session was relatively calm, with no meaningful directional move in the underlying market. Volatility initially declined, briefly suggesting some…

Yesterday was a relatively calm session, but volatility behavior remained unusual. Despite the market decline, implied volatility in the far upside tail continued to…

Yesterday continued the unfavorable regime for the strategy. Tail volatility kept rising despite only a modest move in the underlying market. Because realized movement…

Yesterday the market produced one of the least favorable scenarios for our portfolio construction: a strong rise in the underlying index accompanied by a material…

The session was broadly calm despite the expiration of a very large volume of options. No major market event disrupted trading, and realized movement remained limited.