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Tuesday, March 29, 2011

Up or Down for SPY? Implied Volatility Slightly Undervalued


- SPY is trading at 131.5, intraday 3/29. Looking at the chart, this level is at the intersection of a short-term down trend within a mid-term uptrend. My feeling is that we will move sideways or range bound for a week or two between 126 and 134.


- Implied Volatility Index mean is around 17.3, which is below Fair Volatility Estimate indicator's value of 18.04 intraday. Perhaps, the best strategy is to stay out of the market when the technical picture is so unclear. If I was short options, I would cover some of my positions.
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