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VIX peaks and $SPX moves Replies |
rffrydr
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 Posted: Fri Feb 17, 2012 7:51 am Post subject: |
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rffrydr
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rffrydr
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| Posted: Wed Nov 23, 2011 6:48 pm Post subject: |
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http://www.cnbc.com/id/45421805
--in a word, numb.
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rffrydr
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| Posted: Tue Nov 15, 2011 3:16 pm Post subject: |
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rffrydr
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| Posted: Wed Oct 12, 2011 8:35 am Post subject: |
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VIX going back to where it belongs, contango.
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rffrydr
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| Posted: Mon Aug 22, 2011 10:10 pm Post subject: |
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From the broker:
Prior to the recent spike over 45, the VIX had posted a high over 45 six times frames since 1990. In every
case but 2008, the VIX had recorded a weekly high under 45 within three weeks (lower high from the
peak). The high was also below 45 at six weeks, nine weeks, and twelve weeks with the exception of
2008. Besides 2008, volatility was slow to fall in 2002. A quick memory jog of the macro events of the
periods in the table is provided to give context to the spike highs in the VIX.
· The VIX spike in 1997 was a function of the Asian crisis.
· The VIX surge in 1998 was linked to LTCM/Russian crisis.
· The VIX spike in 2001 was a function of 9/11.
· The 2002 VIX spike appeared related economic growth. After recovering in the first half of 2002, the
economy stalled in the second half of 2002. Industrial production went flat in the second half of 2002.
Additionally, there was an SEC investigation into AOL’s accounting practices, worry over Citigroup’s
ties to Worldcom, and a number of high profile profit short falls (SBC and Williams are two quick
examples).
· The credit crisis in 2008 was unprecedented and near the climax of the mortgage and housing crisis.
The credit crisis of 2008 also ushered in a recession.
· The VIX spike in May of 2010 was linked to the Eurozone sovereign debt crisis/Greece.
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rffrydr
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| Posted: Thu Aug 04, 2011 11:15 am Post subject: |
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Tracking Volatility
By Timothy Collins
About this article:
| Quote: | | We're back to test yesterday's low in prompt fashion. I know many have talked about the lack of a spike on the Volatility Index (VIX), but this creeping higher on VIX futures is like being stalked by a serial a killer. It is right out of a horror movie. The soon-to-be-victim knows something is wrong, frantically locks all the doors and windows and grabs a butcher knife. Maybe we haven't seen the big spike in the VIX many are waiting for, but look at the spike in implied volatility (IV) on the inverse-leveraged ETF names. Direxion Daily Small Cap Bear 3x Shares has historic volatility around 62%, but this morning that has spiked to 92%. The SPDR Gold Trust is trading with an IV of 18.5% vs. a historic level of 13.7%. Even the SPDR S&P 500 is well above its historic volatility... |
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rffrydr
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| Posted: Fri Jun 03, 2011 9:28 pm Post subject: |
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Get Ready for a Slow Summer
By Timothy Collins
| Quote: | | June began much the same way May did. If this is how July is going to start off, then we are better served getting a sandwich and a beer and sitting by the pool until well after the Fourth of July. When it comes down to it though, I didn't see much reason to do anything today. Beyond the initial bounce I expected this morning, I saw no reason to buy anything. There just wasn't any motivation. You could clearly see it in the trading. Even the Volatility Index (VIX) lacked enthusiasm. Those who wanted to trade did so before the market opened, then in the first few hours of the day. Speaking of the VIX, the lack of action continues to translate to the lack of movement in the VIX ETFs and ETNs. These are not broken. It just so happens, even as the market... |
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rffrydr
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rffrydr
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| Posted: Tue Apr 19, 2011 10:05 am Post subject: |
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Things sure have calmed down since then....even catatonic.
Market Can't Muster a Bounce
By Timothy Collins
The market can't muster a bounce, yet the Market Volatility Index (VIX) can't seem to get out of its own way. For those who own volatility ETFs and ETNs, take the VIX off your screen and put the VIX futures on it. The disconnect you are seeing isn't actually a disconnect. Unfortunately, watching the spot VIX vs. the volatility ETFs and ETNs can be misleading. The ETFs and ETNs track the futures, not the spot. I still think it is important to monitor the cash VIX, but not if a trader is going to stress over the movements of it when it doesn't always feed directly into their volatility holding. If you are worried about a market crash or correction, then take advantage of the low VIX and buy some puts. If you believe short-term futures volatility is going to move higher, then the VIX products...
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rffrydr
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| Posted: Mon Nov 02, 2009 11:28 am Post subject: |
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Howard Simons
VIX Watching And Market Twitching
11/2/2009 12:02 PM EST
| Quote: | The mechanics of variance trading force market-makers into selling ever-larger quantities of stock at ever-lower prices on days such as Friday. This is one reason why a simplistic approach to the VIX was not useful in defining a market bottom in 2008.
What we can take away from Friday is just how skittish the market is about hanging around during even the whiff of a correction. A pullback of just over 5.6% was enough to produce a jump in the VIX relative to underlying volatility consistent with some bear-market rollovers of the kind seen in 2008.
Combine the pro-cyclical effects of variance trading with the still-raw memories of what happened to those who stayed too long at the party in 2001 and 2008, and you have a recipe for more of these trapdoor days...and of similarly violent upside reactions such as seen last Thursday. |
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rffrydr
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rffrydr
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rffrydr
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rffrydr
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