This Day On The Street
Continue to site
This account is pending registration confirmation. Please click on the link within the confirmation email previously sent you to complete registration.
Need a new registration confirmation email? Click here

Jared Woodard Analysis: Risk

TheStreet Premium Services

A complimentary preview
of Options-Profits Previews

A look at some key estimates of market risk suggests that this is not a good time to be adding short volatility exposure. If you're an active trader eager to sell puts, this is not the time.

Equity Market Risk Dashboard

Source: Condor Options

Box plots in the chart above mark, in order, the minimum, first quartile, median, third quartile, and maximum values for each risk indicator, with the current value shown as a red cross. Indicators are, in descending order, the CBOE Volatility Index (VIX); SPY one year at the money implied volatility; S&P 500 two month IV momentum, measured as the difference between exponentially-weighted 15- and 30-day moving averages of ATM IV; S&P 500 one month volatility of volatility, measured as the two-week standard deviation of daily log changes in 1M IV; SPX SKEW index, provided by the CBOE; and iPath S&P 500 VIX Short Term Futures (VXX) three month rolling beta with SPX as the benchmark.

Implied volatility momentum and the volatility of one month implied vol are both above their two year median values. In the past, this is the sort of situation in which it has been better to stay away than to jump in, even though option premium looks expensive. The fact that one year implied volatility is only just above the first quartile is a positive sign, although with a bit more selling this week we could see that measure start to rise as well.

In early August, I posted an important chart showing where the cheapest hedges were. iShares MSCI EAFE Index Fund (EFA) was down on Tuesday more than the S&P 500, and iShares MSCI Brazil Index (EWZ), which we traded as good contrarian vol short, was only down 1.25% and is acting much better than developed market indexes.

OptionsProfits can be followed on Twitter at

Jared can be followed on Twitter at

EXCLUSIVE OFFER: Jim Cramer's Protégé, Dave Peltier, only buys Stocks Under $10 that he thinks could potentially double. See what he's trading today with a 14-day FREE pass.

At the time of publication, Jared Woodard held positions in SPX, VXX and VIX.

Select the service that is right for you!

Action Alerts PLUS
Try it NOW

Portfolio Manager Jim Cramer and Director of Research Jack Mohr reveal their investment tactics while giving advanced notice before every trade.

Product Features:
  • $2.5+ million portfolio
  • Large-cap and dividend focus
  • Intraday trade alerts from Cramer
  • Weekly roundups
TheStreet Quant Ratings
Try it NOW
Only $49.95/yr

Access the tool that DOMINATES the Russell 2000 and the S&P 500.

Product Features:
  • Buy, hold, or sell recommendations for over 4,300 stocks
  • Unlimited research reports on your favorite stocks
  • A custom stock screener
  • Upgrade/downgrade alerts
Stocks Under $10
Try it NOW

David Peltier uncovers low dollar stocks with serious upside potential that are flying under Wall Street's radar.

Product Features:
  • Model portfolio
  • Stocks trading below $10
  • Intraday trade alerts
  • Weekly roundups
Dividend Stock Advisor
Try it NOW

David Peltier identifies the best of breed dividend stocks that will pay a reliable AND significant income stream.

Product Features:
  • Diversified model portfolio of dividend stocks
  • Alerts when market news affect the portfolio
  • Bi-weekly updates with exact steps to take - BUY, HOLD, SELL
Real Money Pro
Try it NOW

All of Real Money, plus 15 more of Wall Street's sharpest minds delivering actionable trading ideas, a comprehensive look at the market, and fundamental and technical analysis.

Product Features:
  • Real Money + Doug Kass Plus 15 more Wall Street Pros
  • Intraday commentary & news
  • Ultra-actionable trading ideas
Real Money
Try it NOW

More than 30 investing pros with skin in the game give you actionable insight and investment ideas.

Product Features:
  • Access to Jim Cramer's daily blog
  • Intraday commentary and news
  • Real-time trading forums
Top Rated Stocks Top Rated Funds Top Rated ETFs