Get started

VIX CBOE Volatility Index

Neutral, 3 Apr 2023🖼 Daily Technical Picture 📈 ➤ The mid-March march in equities has neutralised the short-term down-trend. A higher high as been set. To move from neutral to an uptrend we need to see a subsequent higher low. That potential higher low could come swiftly. ➤ S&P500 is at key levels with 410 and 417 acting as resistance on the SPY. A correction in the price should close the unfilled price gaps at 404 and 397. The latter target is where the 200-day moving average hovers. ➤ We should also expect some profit-taking especially in the mega cap tech names after a massive near +18.6% quarter gain in the Nasdaq. This too will help to fulfill the above scenario. ➤ Conclusion: I remain positioned long with a moderately-sized position. Just waiting for an exit signal. EQUITY TREND: ⦿ Short-term (weeks) - NEUTRAL ⦿ Medium-term (< 6 months) - UP ⦿ Long-term (>6 months) - DOWN
AMEX:SPYLong
by mrstockyetoro
Navigating The Illusion of SafetyFalse security is dangerous. Wall Street's fear gauge is muted. Is the VIX cruising for a bruising? As mentioned in our previous papers, current times are unprecedented, from geo-politics tensions, restrictive monetary policies, fractured corporate earnings, to sticky inflation. the VIX should be anything but sanguine. Any mild escalation could send equities tanking or soaring at the sight of relief. When the road ahead is that uncertain, straddle saves the day. This case study argues for a long straddle in CME’s Micro E-Mini S&P 500 Options to gain from price action and from rising volatility. Low VIX plus narrow spread between VIX & realised volatility reduces straddle cost. Large price action plus volatility expansion will deliver a compelling 1.25x reward to risk ratio. DEMYSTIFYING VIX Volatility Index ("VIX") is also known as the Fear Index. Higher the fear, greater the VIX. Typically, VIX above 30 points to elevated uncertainty. VIX below 20 describes stable markets. VIX is market’s expectations of S&P 500 Index (SPX) volatility over the next 30 days. It is computed by using the weighted prices of SPX options across a range of strikes expiring within the next 23 to 37 days. It is an annualised quantifiable measure of market uncertainty. Volatility is inversely proportional to the square root of time. A year comprises of 252 trading days. Dividing VIX by the square root of 252 (~16) provides daily expected moves. Current VIX at 20.7% implies ~1.3% daily move. IS THE VIX BROKEN? Several threats loom yet VIX remains subdued. Is it broken? In a recent FT Alpha Ville column, journalist Robin Wigglesworth postulated that the VIX may not be broken. Instead, it has been diluted by product innovation resulting in risk pricing windows shifting away from VIX’s target expiry range. Growth in short-dated options (including zero days-to-expiry or 0DTE options) has shrunk the demand for those expiring in 23 to 37 DTE which VIX is based on. Contracting demand while keeping supply same silences the VIX. THE VIX AND REALISED VOLATILITY In theory, realised & implied volatility (VIX) should be at similar levels and move in tandem. However, in practice where greed & fear trump rationality, VIX overshoots realised volatility. Over the last ten years, VIX on average is 307 bps higher than 30-day rolling realised volatility. The spread between the two at 40 bps is narrow as of this writing, making options buying relatively cheap. MACROFORCES BUT MICRO IMPACT ON VIX AND OUTLOOK FOR 2023 How does VIX respond to rising rates, contracting Fed Balance Sheet, and geo-political shocks? VIX should be sensitive to rate changes & Fed Balance Sheet shifts given tight interdependencies. However, it turns out that it is not as sensitive to these macro metrics. The chart below shows that VIX spiked nearly 400% in March 2020 when Fed hammered rates to zero while massively expanding its balance sheet to fend off pandemic-linked economic collapse. A similar trend was observed in 2008. Notably, VIX did not spike when Fed started to hike rates in 2022. Steady shifts have much lesser impact on it when compared to radical shifts that shocks the system. Chart below highlights key events that sent VIX soaring. Large VIX moves are driven by shocks. Periods of high volatility as observed last year are caused by market uncertainty over a longer period. A radical shift in monetary policy – like the one in 2018 – will send VIX higher. Back then, it jumped on fears of Fed hiking rates. Now, a change in the rate regime could push up the index. A tailwind to VIX is the on-going conflict between Russia and Ukraine. Any escalation could bump it up to levels unseen in the recent past. TECHNICALS POINT TO A REBOUND IN VIX Mean-reversion is common in financial markets. It is the tendency of asset prices to revert to its longer-term average. Since last November, VIX has been trading below its 200-day moving average (200 DMA). It could rise beyond the 200 DMA as it reverts to the mean. EXPLOITING VIX MEAN-REVERSION WITH CME MICRO E-MINI S&P 500 OPTIONS Bullish VIX? Long VIX futures? Perhaps not. Why? Given rising growth in shorter dated options, VIX remains bottled-up. Jumps in extremely shorter-term volatilities fail to show up in it. Therefore, instead of VIX futures, this case study features a long straddle using CME’s Micro E-Mini S&P 500 Options to deliver a compelling and comprehensive return profile gaining from both volatility expansion and price action. The long straddle is designed to deliver profits when the index makes a sharp move either up or down while also gaining from volatility expansion. Straddles are usually considered expensive as it requires two upfront premiums. However, with VIX below its 200 DMA and near the 30-day-rolling historical volatility, these premiums are relatively cheaper. Leg 1: Long 4150 Call on MESM3 (expiring in June 23); premium of 171.25 index points Leg 2: Long 4150 Put on MESM3 (expiring in June 23); premium of 185.50 index points Premium: $1,800 ((171.25 + 185.50) * $5 = 356.75 * 5 = 1,783.75; ~$1,800) *Note: 1 point move in MESM3 = $5 Break-even points: S&P 500 futures at either 3790 or 4510 Target: S&P 500 futures at either 4600 or 3700 Profit at Target: $450 Stop-loss: At 20% of the drop in options premium Loss at Stop-loss: $360 A long straddle generates returns when (a) underlying futures trade past break-even points, and (b) volatility expands. As expiry inches closer, the straddle loses value which requires close monitoring. CME offers a wide range of options on deeply liquid S&P 500 futures. To meet growing demand for shorter-dated expiries, CME is expanding the listing cycle of Micro E-mini Options on Micro E-mini NASDAQ and Micro E-mini S&P with expiries available throughout the week, on every business day. These ultra-short, or same-day expiries can be used to reduce straddle cost further enriching returns from this strategy. Also, investors can fine tune their hedging & trading with shorter expiries and smaller notional values. At 1/10th the size of the E-Mini contracts, Micro E-mini Options require less capital to enter the market with more approachable margins for short positions. MARKET DATA CME Real-time Market Data helps identify trading set-ups and express market views better. If you have futures in your trading portfolio, you can check out on CME Group data plans available that suit your trading needs www.tradingview.com DISCLAIMER This case study is for educational purposes only and does not constitute investment recommendations or advice. Nor are they used to promote any specific products, or services. Trading or investment ideas cited here are for illustration only, as an integral part of a case study to demonstrate the fundamental concepts in risk management or trading under the market scenarios being discussed. Please read the FULL DISCLAIMER the link to which is provided in our profile description. REFERENCES www.cmegroup.com www.cmegroup.com
CME_MINI:ESM2023Long
by mintdotfinance
3
Room for MOAR? 31 Mar 2023🖼 Daily Technical Picture 📈 ➤ Once again equities gapped higher. Depsite some "gap filling" action, price recovered to finish some distance from the lows. All is not equal of course, Nasdaq still leads the way and Russell2000 small cap woefully lagging. Long big tech and and short the weaker small caps would have been a wonderful trade. ➤ So is there MOAR upside to come? From a technical standpoint, yes, perhaps a bit more. Immediate resistance at 405 on the SPY followed by 410 and 417 areas. It will require VIX to remain low for the higher targets to be achieved. That is certainly plausible. Note that a print above 407.45 (6th March high) would void the short-term down trend due to a higher high. ➤ Keep in mind the sizable lower price gap that is unfilled from Wednesday trade. ➤ Conclusion: Still holding on to my moderate long position. An exit shouldn't be too far away especially if there is a sizable down turn in price. EQUITY TREND: ⦿ Short-term (weeks) - DOWN ⦿ Medium-term (< 6 months) - UP ⦿ Long-term (>6 months) - DOWN
AMEX:SPYLong
by mrstockyetoro
VIX - is the sell 20, buy 30 strategy done?Throughout 2022 you would have done VERY well taking profit when the TVC:VIX hit 20 and accumulating when the VIX hit 30. But has this trend concluded? This movement and profit/accumulation opportunity is consistent with the most recent tightening from 2017 to 2018 where fed funds were rising, and the yield for 2 year treasuries in the bond market exceeded fed funds. When the yield for 2 year treasuries fell below fed funds the VIX remained below 20 until covid hit. The VIX spiked during covid and consistently descended while the market expanded. This pattern is only observed in the most recent cycle and not something that we see consistently repeated historically. If the 2 year remains below fed funds, should not expect the VIX to range between 20 to 30 or will 20 to become the ceiling?
TVC:VIXLong
by Ben_1148x2
The Case for UnemploymentUnemployment is tricky. You just cannot announce high unemployment. The political damage is too much to take. But unfortunately, the time comes when unemployment just increases... Every sane person would want the economy to remain calm for as long as possible. This is not sinister or bad. After all, it is in the duty of Governments and Central Banks to keep our daily lives as calm and peaceful as possible. Bad unemployment data is inherently bad. It is worse than bad inflation data. So it is always a tricky situation... After the inflation chaos, calm has return to the financial world. Volatility and inflation is lower, equities are higher! So all is well! Not only inflation is lower, but also unemployment! With an ultra-low rate of 3.4%. News just couldn't be better! Initial claims is also breaking down, signaling better days ahead... After all, low unemployment is good! Right? Not so fast fella! Low unemployment is good for, well, employees! But it is bad for corporations! Finding skilled personnel is incredibly hard. So much so, that most companies underperform. They just can't grow! I believe that unemployment does not necessarily break the economy. And the economy does not necessarily break the unemployment. It is a mixed bag... Sometimes, businesses benefit from high unemployment. If the antagonists fail, others get their workers, and most importantly, the piece of the pie! Some companies grow while others fail... Believe it or not, low unemployment is risky. Especially when it is in a 54 year low... It just cannot go lower! Recent unemployment data is perfect. However, Continuous Jobless Claims (USCJC) may give us a new perspective... It is at times like these when we see conflicting data. Continuous Claims increase while unemployment rate is decreasing. At that period, the official unemployment rate was making lower lows! This is deeply concerning. Especially when it is eerily similar to 2020. Perhaps it is a shift of balance right before a crisis. Perhaps a period when long-term employees lose their jobs since companies attempt to cut down costs. Instead, they hire less skilled workers with lower wages, perhaps for part-time jobs. This may be the last attempt of companies to stay afloat. It is also the last attempt for families to stay afloat. High food prices necessitate work at all costs, no matter how low... A crisis may be brewing... A Black Swan one, just like 2020. The Big Tech bubble is literally hollow, full of derivatives aka weapons of mass destruction. And the scale and the ramifications of such a crisis are still unknown. (By inflation pressure I mean the amount of work the FED does to fight inflation. While this chart increases, inflation gets out of hand) Perhaps all of this is meaningless. Only time will tell what will happen... WW3 commence I guess? Tread lightly, for this is hallowed ground. -Father Grigori
ECONOMICS:USCJC
by akikostas
3
The 400, 30 Mar 2023🖼 Daily Technical Picture 📈 ➤ Equities shot up higher with you guessed it...Nasdaq leading the way. If investors did not have a large tech allocation, they have been left way way behind at least so far this year. ➤ S&P500 is up 5% YTD but is now back trafficking at the 400 level. This has been the recent "zero" line from where prices oscillate up and down 5% on either side. With VIX now collapsing to low levels, the up move since the 14th March low may be limited. This is especially true as we are in a range-bound market regime. ➤ Given the above, I took off half of my long position leaving a moderate sized exposure. In this environment, whenever price hits resistance or support, there is a chance the price can reverse rather aggressively. ➤ Note the sizable price gap due to today's jump at the open in the SPY. In recent times, all these gaps have been filled either immediately or shortly in the future. I don't see this gap being any different. ➤ Conclusion: A decent profit so far making up for lost time due to the sporadic trading action this month. EQUITY TREND: ⦿ Short-term (weeks) - DOWN ⦿ Medium-term (< 6 months) - UP ⦿ Long-term (>6 months) - DOWN
AMEX:SPYLong
by mrstockyetoro
Bearish Momentum Ahead. It has been a while since Indices begin with a Heads UP High. The amount of volatility that has been withdrawn from markets due to exchange of securities at average rates will soon get soared when there will be market capitalization of stocks crunch. The volatility will increase as free float market cap will be left really low and whatever stocks trading will occur would make immense changes. Price Capped Indices wouldn't sustain better positions as whatever traders do with stocks ultimately volatility will trap them and prices will run in downtrend.
TVC:DJIShort
by herozerocoinwnprl
The Flipper, 29 Mar 2023🖼 Daily Technical Picture 📈 ➤ Another low volatility day. Equity prices recovered to finish where it started the day. For me it meant flipping my short position to being long/buy. ➤ "The Flipper" in Cricket is a bowling action made famous by the legend leg spinner Shane Warne...may he rest in peace. It's a normal looking spinning delivery but actually just skids on straight with extra pace. It often leads to the Batters' demise as he/she is completely fooled. ➤ In a way, the recent price action in equities is like that. With all the fearmongering, banking crisis, etc etc...the market has hardly budged. What was lost was recovered. VIX also didn't shoot up aggressively and has completely collapsed once again. ➤ Will it continue? Is the market too complacent? You should know my answer to that...I really don't care all that much although it is interesting listening to all the arguments. ➤ I'm just trading the price action as I see it. If I'm right or wrong, make or lose money it certainly isn't because I thought about this macro factor or that. That's just not my skillset. ➤ Conclusion: A bit peeved at not being to realise a decent profit on the short...let's see what a maximum-sized long play will bring. EQUITY TREND: ⦿ Short-term (weeks) - DOWN ⦿ Medium-term (< 6 months) - UP ⦿ Long-term (>6 months) - DOWN
AMEX:SPYLong
by mrstockyetoro
A Short Stay, 28 Mar 2023🖼 Daily Technical Picture 📈 ➤ A low volatility start to the week. NASDAQ underperformed while Russell 2000 small cap caught a bid. Price could not push through the short-term resistance level above 400 on the SPY. VIX keeps moving lower. ➤ I'm finally back in the action with a moderate short position. It's going to be a short stay, 1 or 2 days perhaps. It was kind of an unfortunate start. Equity prices burst higher in the few seconds into the close just after the opening of my position. A little bit annoyed with that. ➤ Conclusion: Remember that we are in choppy conditions so I'm not expecting any major directional moves as yet. EQUITY TREND: ⦿ Short-term (weeks) - DOWN ⦿ Medium-term (< 6 months) - UP ⦿ Long-term (>6 months) - DOWN
AMEX:SPYShort
by mrstockyetoro
3/27/2023 (Monday) SPY Analysis and Market Deep DiveMonday 3/27/2023 - In this Video I discuss The technical analysis of the SPY ETF which is a proxy the S&P500 that is often a tell on general market movements. I also discuss broader market Macros I have been watching including last week's and next weeks economic events. We also discuss some recession indicators, and other charts that show headwinds and tailwinds to equities. In the Trading View App, You can use the links below and hit play, so you can see the action from the dates the charts were published. I will keep this going so we can follow outcomes to analysis!
AMEX:SPYLong
by Markets-Sniper
$NDX leads but has had issues in this area beforeBeen away for a week, needed time off. Visited family. Did some light trading, mostly closing closing puts sold as most of them expired worthless = We kept PREMIUM! 🙂 - Let's see how markets fared. - As we expected, $NDX has done decently & has kept retesting the upper boundary hit in February. It's breaking above today. BULLISH if accompanied with volume. As we've stated for months, markets don't act as most believe. They are irrational much of the time. - $DJI has not fared as well BUT will LIKELY join #NDX in the upward movement. The issue was 2 #banks on the #DJI. The #DowJones fared much better during the beginning of the year but lost leadership in February. - $VIX has stayed in the middle part of the Symmetrical Triangle. Which tends to be the case until as extreme direction ensues. As stated countless times this can stay the case until mid 2024! Most likely not but it can. We believe it will touch the bottom part of the trend, higher probability, before, IF, it hits the top part again. #stocks #stockmarket #vix
NASDAQ:NDX
by ROYAL_OAK_INC
Chop Chop, 25 Mar 2023🖼 Daily Technical Picture 📈 ➤ The week ended positively for equities with brisk late buying on Friday trade. The exact opposite of the late strong sell-off on Wednesday just on a smaller scale. That sell-off remains the dominant feature. ➤ With the exception of Tech and perhaps day trading, it was pretty choppy everywhere else for generating returns. Somewhat like being swirled around in the washing machine not knowing where we will end up. At this juncture, one could come to the conclusion that despite all the hoo-ha about impending disaster it was just pure fear mongering built up with social media...at least in the very short term. ➤ I'm not too upset to have been left out of the action this week. I think any trade would have been chopped up and spat out. I'm looking forward to next week as the price action is evolving into a structure that is recognisable. ➤ Conclusion: Let's hope we don't get the same choppy conditions next week. Have a great weekend! EQUITY TREND: ⦿ Short-term (weeks) - DOWN ⦿ Medium-term (< 6 months) - UP ⦿ Long-term (>6 months) - DOWN
AMEX:SPY
by mrstockyetoro
I'm No Day Trader, 24 Mar 2023🖼 Daily Technical Picture 📈 ➤ I'm not a day trader but it's a perfect market environment to be one. Volatility is just at the right level where prices swing/trend but are constrained in a range. Today was a perfect example. ➤ Equity prices swung up and down and finished slightly positive. Once again NASDAQ outperformed and the regional bank heavy Russell 2000 small cap stocks lagged. There's also lots of money to be made by astute sector selection just like last year. Money can still be made by a long-only investor in a Bear market! ➤ Today's price action keeps the Bears in play. An attempt to reverse yesterday's plunge failed albeit no further ground was lost. This was helped by the 200 day moving average acting as a wall of resistance. The VIX acted a bit better to correspond with that bearish tone but still looks unconvincing. ➤ Conclusion: We are getting closer to a suitable trade set-up. EQUITY TREND: ⦿ Short-term (weeks) - DOWN ⦿ Medium-term (< 6 months) - UP ⦿ Long-term (>6 months) - DOWN
AMEX:SPY
by mrstockyetoro
2
The Best Dentist, 23 Mar 2023🖼 Daily Technical Picture 📈 ➤ The Market is indeed the BEST Dentist. Rarely does it allow a gap to remain. The price gap in the SPY from Tuesday trade was immediately filled. Yesterday, I contemplated about the manner in that it was to be filled. The Market decided on the second option - a spike higher before moving lower. ➤ Equity markets sold-off aggressively at the end of the trading session. Small cap was battered once more losing almost double that of the major indices. ➤ Inspite of the selling, the VIX remained unperturbed. I would be sceptical of this bearishness if there was to be no follow-through selling and a move higher in the VIX. As you know, I'm keen to see follow-through action as a means of confirming a directional move. ➤ I was hoping for a bullish or small bearish day. That would have neatly set-up a potential short trade. Today's action stole a lot of that potential. That means I will need to wait patiently and see how price action evolves. ➤ Conclusion: Trading action has been a start and stop affair similar to Feb. Hopefully we will get into the action towards the end of the month! EQUITY TREND: ⦿ Short-term (weeks) - DOWN ⦿ Medium-term (< 6 months) - UP ⦿ Long-term (>6 months) - DOWN
AMEX:SPY
by mrstockyetoro
VIX -INVESTORS FEAR/GREED INDICATORVIX showing signals of a bullish market open 1)I believe something will big will happen to the market in the upcoming days as the VIX is almost reaching a new All time Low possibly indicating a bullish shift in the market. 2) In the second chart shown, it seems like the VIX will enter a free fall. How to translate the VIX: Above 20 we are bearish and below 20 we are bullish. The VIX indicator is a representation of investor fear in the market. As the fear grows, the number increases making it bad for the market overall. Why should we care? -This indicator has successfully predicted the 2008 crash and Corona crash. It is a very powerful indicator when it comes to knowing how investors feel psychologically about the market.
CBOE:VIX
by CryptoGao1