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VIX-SPX

VIX: Flat or rising base *always* breaks higherSince August, VIX has held a flat base around 19.50 which it touched today 2/10/2021. This means a correction in the S&P 500 is likely coming soon - almost guaranteed - and in fact, this is the *quickest* weekly retouched of the base on record, so we may still be in the upward wave in the VIX that began end of January. The rapid continuation of that wave *may* suggest an end to the August-February channel, suggesting much lower prices for the S&P 500 than the September 2020 low, but we don't know this for sure because we don't have another peak-to-trough move within such a short period of time since the VIX's inception, so it's hard to say what it means for sure. Either way, a sell in the S&P 500 is coming within the next week; we just don't know if it's a September 2020/June 2020/January 2021 type of sell, or a bigger one.
TVC:VIXLong
by dtingbudong
2
VIX - Future / OptionsHello traders, a couple of facts on the VIX that you might didn’t know. VIX is a 30-day volatility measure. The calculation is based on two strips of SPX options that are used in the VIX calculation (now for example November and December option strips), the strips have a different weighting each day. Every day that passes we have fewer days in the current month and more days in the next month, for example, we have 12 days to the end of this month and 18 days in the next month and we get to 30 days, we can see that the next month has more weight. For longer-term Futures, expiring in later months they will not track VIX well. The VIX calculation can be applied to any set of options that have two strips of options in the two front-months. Because of this VIX calculation of volatility can be made for almost every stock, index, or futures. Examples: VXAPL (AAPL), VXAZN (AMZN), VXGS (Goldman Sachs), VXGOG (Google), VIXIBM (IBM), VXSLV (Silver ETF), and more. Volatility moves opposite to the direction of the stock, index, or futures almost 75% of the time. We can see in the chart that the green areas are when VIX and SPX are opposite in direction and in the red when they move in the same direction. A futures contract has an expiration date but no striking price, unlike an option contract. If a futures contract is trading at a higher price than the VIX, the futures are trading with a premium. If they trading at a lower price than VIX, the futures are trading with a discount. Example: VIX 24.3 VXZ2020 24.875 (December future) -> 24.875-24.3 = 0.575 Premium VXF2021 26.175 (January future) -> 26.175-24.3 = 1.875 Premium VXG2021 26.225 (Februry future) -> 26.225-24.3 = 1.925 Premium We can see that the prices are rising, usually when the markets are going up the longer-term futures will cost more and the futures will have premiums. If the VIX will go up and there will be a big correction or even a bear market the futures will trade with discounts. This since VIX is based on 30 days calculation. This means that the front contract (the contract this month) will have very high volatility and the long-term futures will have lower volatility because when the markets fall it is usually short but violent moves and there will be an expectation of the market to go sideways or reverse. Example: VIX 60 (December), VIX Future (January) 52, VIX Future (Febraury) 47. You can see that discounts can be quite large and the trader that would expect to profit from long-term VIX futures when the market falls, will be very disappointed. This is why usually traders buy the VIX front-month contract. One way to hedge the portfolio. (“Insurance”) Buying VIX calls compare to SPX puts. The calls are better. When buying puts on SPX about 7% out of the money, today example SPX 3567 and the strike price of the puts 3310. If the SPX will go up in price there will no longer be a 7% protection. When buying calls on VIX for protection, if the market will decline the VIX could easily go to 30 and even much higher, even if in the short term the VIX will go down. The lower the VIX when we buy the calls the effect will be much greater. Remember that in March 2020 the VIX was over 80.
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SP:SPXEducation
by ZoharCho
20
VIX, RSI, SPX - 2 OptionsHi Guys, The questions here are the following: Is VIX going to unfold a third high higher than 2 into US Presidential Election? or Will it make a C in RSI and confirm a top in between the FED's top (Jun.10th) and SoftBank's top (Sept.3rd)? Please share your view in the comments below. Thank you for your support and for sharing your ideas. Cozzamara Disclaimer: Please note that I am not a professional trader and these are my personal ideas only. The information contained in this presentation is solely for educational purposes and does not constitute investment advice. The risk of trading in securities markets can be substantial. You should carefully consider if engaging in such activity is suitable to your own financial situation. Cozzamara is not responsible for any liabilities arising from the result of your market involvement or individual trade activities. IMHO: The point of trading is to make money. To make money you must have money. Depending on the money at your disposal, you can decide what to do and how to do it. By having stops you decide how much you are willing to lose. By having targets you decide how much you want to earn. Be disciplined with your protocol and with your strategies for trading. Sometime you win, sometime you lose. Don't be greedy. Be realistic. Be wary but not afraid. Be curious. Use your brain. As long as your working process make sense and your spirit is calm, everything will be fine. Be patient and be prepared for any circumstances.
TVC:VIX
by cozzamara
US500 (SPX) vs.Vix Asia-Pacific FuturesGood comparison which I will be watching closely this week. The VIX is calculated using a "formula to derive expected volatility by averaging the weighted prices of out-of-the-money puts and calls.” Using options that expire in 16 and 44 days, respectively, in the example below, and starting on the far left of the formula, the symbol on the left of “=” represents the number that results from the calculation of the square root of the sum of all the numbers that sit to the right multiplied by 100. Going forward the fact that VIX is trading above 26 means that the SPX can at anytime turn towards bearish continuation..
TVC:VIXLong
by TayFx
13