Friday, 3 July 2015

The Greeks have brought back the volatility at least!

Whilst the Eurozone and Greece have been at loggerheads, the increase in volatility and especially the rise in the VIX has been what the market has so badly needed. Rise in volatility has given so much needed premium to some of these options helping option selling strategies.
Algos have been working overtime lately with thin markets getting manipulated by every single Greek comment, Fading any extreme move has been the play rather then to go with it. Dax has traded in 500 tick range this week although moves have been sharp, it hasn't broke out one way or the other.

Bunds have been in a 250 tick range consolidating after the big drop in May. A firm break of 150 is needed to resume the downside, but a break above 153 could see a move back to 154.50. Volume has been good, and action choppy making it decent conditions to scalp.

Short Sterling is getting its mojo back with some decent volumes coming in. The yield curve has been steepening on the back of a potential rate rise this year, although events in Europe will largely determine the rate path in my opinion.

This weekend is the Greek referendum, and although I don't think anything will be solved it will provide some good tradeable opportunities. Volatility has increased in options due to this so Monday will see big option vega contraction on a yes vote.

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