Friday, November 6th 2020
Matt quoted by Reuters “things are mellowing out from a vol perspective”
Contango is the relationship of front month implied volatility to back month. When front is above back IV then that often indicates more tumoult for the market.
Matt was quoted by Reuters discussing the volatility landscape after the election. Implied volatility has been coming down and contango, the relationship between front and back month implied volatility, is getting back to normal. For a couple of weeks, contango went negative.
April Joyner of Reuters and I caught up to discuss the volatility landscape after the election.
Implied volatility has been coming down and contango, the relationship between the front month at-the-money implied vols vs the next months out, is getting back to normal. Normal for contango is positive when the front IVs are below the back IVs. For a couple of weeks, contango went negative.
April's article can be found HERE
Since I was quoted using surfer speak, here's a video for you:
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