Thursday, July 19, 2007

VIX retreats to 15s: Qs perched on a ledge

As expected, the VIX retreated to the 15s and is now riding below both the 10 and 20 day SMAs. Adam has suggested that 15 may be the new 12 (that is; median trading range). The demise of the uptick rule is a hot topic of recent blog posts and the real effect on the TICK and VIX as short term trading indicators remains to be seen.
Per my plan, I closed my ATM Q calls 6 minutes into the open for a nice overnight gain. I was expecting a swing low back to PP, but this never happened as the Qs bumped between R1 and R2 all day....driven by the momentum of 100M shares of MSFT. TICK and NYAD were downslope last 1/2 hour, TRIT was upslope last hour. I took these signs as a cofirmed short bias signal and bought August slightly OTM puts at 12;45 (pst). In after hours trading, MSFT is down to 30.83. If it sticks, this could be the catalyst for a short term slide back to 49.00 for the Qs.

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