Get started

Volatilityindex

SPX Note 22/06/22The index behaves uncertainly. Tuesday's rise turned out to be a sham. Delta flows were negative or neutral all trading day. The DIX showed a decline on the upside. For a sustained rally we need to buy calls, which we are not seeing for the next few weeks. Volatility sellers are not very active either. VXX again took the lead in dark liquidity by yesterday's session. These factors cast doubt on the SPX growth, at least for now. We would like to see a retest or an update of the low of the index, if the opportunity arises. P.S. Due to the positive correlation with the cryptocurrency, we might expect the same actions from the BTC.
CME_MINI:ES1!
by UnknownUnicorn32592850
S&P testing last line of defence before CollapseFRED:SP500 S&P is going to test the most important level for this year. If this level gets broken we can look for another retest of previous lows which are not close. This level not holding means a significant decline for both crypto and stock markets as they are already surging downwards and there is already PANIC on the horizon. The fundamental events that will take place this week and possible increasing interest rates will be the key factor here. Check out our previous post where we made more than 200+ pips shorting the S&P and much more profits buying the VXX the week before that. Don't forget to FOLLOW so you get informed about the next big move and ways to play it out from our channel.
FOREXCOM:SPX500
by Elite_Forex
SPX Note 10/06/22The index is out of its weekly range, "reacting" to the ECB monetary policy decision and the CPI. It doesn't matter though, the news doesn't tell us much. The index was looking for a driver and it found one. From yesterday's note ... "But it's worth noting that there have been purchases of VXX in the dark pools over the past few days and increased interest in 30-strike VIX calls. Traders are hedging their positions against a possible decline"... Buying in dark liquidity gave a hint of a possible decline, which is what we ended up seeing. Another thing worth noting is that traders are protected from tail risk by buying puts on the SPX and calls on the VIX. Therefore, a market collapse will not follow. But the increased volatility will persist. Influence of the negative gamma. The 4000 strike remains the most important, which will be a magnet for the price. Buying the index in the dark is still high. Gamma exposures are already in a zone where we should expect at least a small counter-move. It is worth observing the dynamics of the indicators. Index made the maximum expected weekly move. It is currently trading in the range of 3960-3970. Further declines only increase the SPX growth scenario. On hold...
SP:SPX
by UnknownUnicorn32592850
SPX Note 9/06/22The index continues to trade in a narrow range. From a previous review ... "Options traders do not look for high index prices and sell calls and buy puts when the price approaches 4,200."... ... "The 4,100 level is a trigger for rising volatility, and in Friday's session, volatility sellers successfully defended this level...". Nothing has changed since then. We have big gamma strikes of 4200 and 4000. A likely scenario would be a price approach to one of the strings before expiration. The VIX, meanwhile, has declined with the SPX sideways movement. ... "Options traders have large put positions below current values, so I do not expect the VIX to rise."... But it's worth noting that there have been purchases of VXX in the dark pools over the past few days and increased interest in 30-strike VIX calls. Traders are hedging their positions against a possible decline. The index may start to move out of the range in the coming days, and the driver could well be the CPI.
SP:SPX
by UnknownUnicorn32592850
New VIX Cycle Continues - 6/5/22VIX at the daily view. It looks like the red resistance has been working, for now. I've been shorting VX futures whenever the VIX crossed the red line. However, this red line has a time limit. It becomes less relevant as we get closer to September. It might be sooner... but that's too hard to tell. As stated before, it will be hard for the VIX to achieve 50 - much to the dismay of the social media crowd. They treat the VIX like a purely inverse index (it's not). The VIX will get muted spikes due to one big reason: cash is a position too. The VIX really spikes when there is increased price range in ES and increased hedges in the options market. When cash is trash, options as a hedge is much more viable. However, during quantitative tightening (QT), cash is king. When cash is king, options as a hedge is not as attractive. Also as stated before, it will be hard for the VIX to stay below 20 due to longer-term, legally required hedging. Hedge funds are legally required to hedge their positions. During QT, the hedges stay there quite a bit longer. During a bull market, the hedges cover and reposition. What's next? The VIX is generally range bound for the near future, but it's also winding up. Would there be a big spike? Likely, just not now. I'm not 100% certain when. However, if I were to pick a general time, it would be around September, maybe slightly earlier. That is when there is a lot of rebalancing of the portfolios, fiscal year end for many funds, midterm elections (with some election hedging), and tightening would be in full swing. Near term? Well, June FOMC and Quadruple Witching OPEX are coming up. Usually, about 1.5 weeks lead up to them, there is a local VIX spike. That said, according to the VIX term structure, those hedges were there for several months. I've noticed them back in January 2022 when there is an unusual amount of hedges for July OPEX (which implies hedging for June). That said, I'd rather wait for VIX spikes to short from. As stated before, during quantitative tightening, timing the VIX spikes becomes harder to predict. Going long in VX for a spike to 50 is the same type of greed as going long for a speculative small cap stock for the potential of similar gains. It's reckless and foolish.
TVC:VIX
by Itsallsotiresome
What can I expect from SPX before it is exp?Greetings All! On the eve of the VIX and SPX futures expiration we can expect a rather calm market. The main open interest and the maximum negative gamma is located at strike 4000, which acts as support for the market. The maximum positive gamma is located at the 4200 strike, which is the main resistance. Options traders do not look for high index prices and sell calls and buy puts when the price approaches 4200. The 4,100 level is a trigger for rising volatility, and in Friday's session, volatility sellers successfully defended this level. Options traders have large put positions below current values, so I do not expect the VIX to rise. Sentiment in the dark liquidity market is more than optimistic. The DIX index hit an all-time high on the SPX decline and has generally been in the buying zone for a long time. Looking forward, this is a positive signal for the stock market, and we can see how institutional investors are set up and where to expect the index going forward. There are two trading weeks left before the SPX expires, and the market probably won't show us anything interesting during that time. In the meantime, I interpret traders' behavior as "pressure on the index with the potential for further growth in the medium term."
SP:SPX
by UnknownUnicorn32592850
VVIX looks safe, but VVIX / VIX: "Prepare now"Pane 1: VVIX appears to have broken support implying lower VIX volatility Lower VIX volatility typically means lower VIX. But not always. Consider VIX spiking to 35 and price going crazy. Usually the "volatility event" passes, price and VIX and VVIX all calm down. Imagine the same spike to 35, but this time, price goes nuts every day for a week, up 2%, down 2%, up 2%, down 2%, up 2%, and VIX stays at 35 all week long. Where does VVIX go as the crazy week plays out? - VVIX measures expected volatility of VIX. - VIX is at 35 every day. In contrast to the first spike, this is smooth sailing for VIX (regardless of 'price gone bonkers') Therefor VVIX would be dropping. Pane 2 and 3: SPY and VIX. Are VIX's (red) swings getting larger or smaller? Yet VIX is above 90% of its historic readings . Conclusions: Dropping VVIX always means a "smoother" VIX VIX can get smoother at 9 VIX getting smoother at 25 is rare (but so is Monkey Pox) Recommendations: Always consider VIX and VVIX together: On the same chart (Pane 1 and 2) Pane 4: as a product or as a center point (VIX*VVIX)^0.5 Pane 5: as a ratio VVIX/VIX A "VIX adjusted VVIX" *Thanks to @Vaas for input and inspiration ! Trade safe, stay free.
AMEX:SPYShort
by gb50k
Volatility is contained, but for how long?Despite the Russia-Ukraine war, despite inflation being at record highs, the DXY making a new high since 2015-2016, the bond market being in its largest bear market and with equities down 20-30%, the VIX hasn't really spiked yet. So far volatility has been contained and every time the VIX would get overbought at 35 or above, it would slowly get back down. However I don't believe that it can get much lower without spiking first. In the short term it could get down to 20, but given the current circumstances, it is very hard for me to imagine that the top for the VIX won't come at around 48 or above. It is also very hard for me to imagine that it would get significantly below 20, therefore going long the VIX at 20 or below is a great strategy until the Fed pivots. However once it gets to 48 or higher it is time to start going long everything as the Fed is probably going to step in and try to save markets.
TVC:VIXLong
by BitcoinMacro
1
End of week recapGBP/AUD GBPAUD has been stuck in a range since the early part of May. This has been a pretty clean trade from range high to rage low. In my own terminology I would consider a range to be an efficient market, one that has defined top and bottom where markets have found equilibrium. These efficient markets can present a separate market characteristic this is another I call inefficient market one that see a quick reset in price. These explanations are made to make this trade seem easier to understand. That being said we are looking for the market to rebound with a stronger British Pound. Looking at the lower portion of the chart Vix indicator says vol is above 50 this is to be taken as bearish moment which indeed we are experiencing. Though I like to look at what price we are experiencing VIX above 50 las time price showed us a 50 VIX was 1.73-1.74 today we are much higher at 1.76. This for me allows me to take the stand that GBP/AUD is bullish at this point on the chart with a return to the upper range of the efficient zone.
Long
by RobinhoodFX
SKEW IndexDespite numerous mentions about the CBOE SKEW Index, we are no where near the 2018/2019 lows (which are the lowest readings on file for the past decade). Understanding how SKEW Index works, it's relationship to Vol Structures, and impact towards Gamma & Vega and how/what it implies by way of Institutional Hedging is another tool for the pros. Do your DD (due diligence) before reading someone's tweet, getting the reddit cliff notes version, and then deploying your personal capital...the markets are not easy, and complex relationships take time to understand all aspects and angles. MMs want you to believe everything is linear, but they just aren't!
S
by VeteranWS
VIX - An opening gap forecasts more pain for the stock marketIn the past week, the market saw a decrease in volatility , which accompanied the relief rally in the stock market. However, just recently, we stated that we expect the rally to be shortlived and to reverse its direction to the downside. We continue to hold this notion also nowadays; indeed, we expect an eventual breakdown in the stock market and new lows to be formed on QQQ , SPX , and the majority of the U.S. indices . Accordingly, we expect this process to be accompanied by another increase in volatility . Therefore, we would like to set a short-term price target for VIX at 30 USD, and a medium-term price target at 35 USD. Our views are supported by tightening economic conditions as well as bearish technical indicators pointing to the more downside in the stock market. Illustration 1.01 The picture shows QQQ on the daily chart . Two parallel white dashed lines constitute a downward moving channel, which is a bearish structure. The recent breakout below the structure indicates a very strong bearish trend of a higher degree. The sloped white dashed line acts as a resistance; on Nasdaq 100 continuous futures , the price is much closer to resistance. Illustration 1.02 Illustration 1.02 shows the Nasdaq 100 continuous futures on the hourly chart. The yellow arrow pinpoints a perfect bull trap we outlined in our idea on QQQ . Illustration 1.03 The SPX shows a bearish resemblance with the Nasdaq 100 index . Illustration 1.04 The picture above shows a negative correlation between VIX and SPX, and Nasdaq. Please feel free to express your ideas and thoughts in the comment section. DISCLAIMER: This analysis is not intended to encourage any buying or selling of any particular securities. Furthermore, it should not serve as a basis for taking any trade action by an individual investor. Therefore, your own due diligence is highly advised before entering a trade.
TVC:VIXLong
by Tradersweekly
4
Vix: a tool to anticipate potential market tops & bottomsThis is just a guide for human psychology. Buy some when VIX is between 30 & 40 (FEAR phase). Sell some when VIX is between 15 & 20 (GREED phase). Vix the fear index is currently on an wide upchannel creating a lot of market volatility. However, we can use this channel range to anticipate temporary tops & bottoms until this channel breaks up or down. See chart for all the possible tops & bottoms & where this channel may possibly break down downward (stocks will rise in the last Quarter2022 before a STA CLAUS rally unless another black swan happens). Recession if it will happen may come after a year or 2 when unemployment starts to rise again & inflation/demand starts to plummet. Right now unemployment is very low & inflation is still rising. The action of FED to fight inflation by forcefully raising rates & reducing demand may risk sending US economy into STAGFLATION (slowing economy with rising inflation is very bad for stocks). Not trading advice. Hope this helps someone to understand the power of FEAR & GREED.
CBOE:VIX
by xtremerider8