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Volatilityindex

So Long and Thanks for all the FishI wasn’t able to do much charting and analysis this week. I'm taking a step back from charting the next few weeks as I finish a project. I wanted to get this last chart out that I have been working on for historical look at the vix. Why is the VIX so important? I would argue that the VIX is the most important indicator in a speculators arsenal. The vix is important because after a volatility event the vix will do what it does. Revert to Mean. To see this phenomenon in action all you have to do is a regression trend of VIX from ~2003 to pre-march 2020 to find the mean for VIX is 15.39 Next add another regression trend line sine the Covid 19 Spike and you will see that it took Oct 25 for the VIX event mean return to historical mean. So a speculator like me can conclude that the Crash of 2020 has completed its mean reversion. What was the cost you ask? To determine that, just extend the regression trend to now to find the current mean and WHAT THE HELL! A trend line formed from the completion of the mean reversion for covid to today and we see that the VIX Mean overall has now risin to 19.70. This is huge as a speculator because it gives us a variable to use in our analysis and some assumptions we can make to predicting a trend after an event. 1. When a crisis occurs, the government will step in to correct it with QE in some form. 2. After a large volatility event or even a bear market selloff, we can estimate an amount and time to reversion. Everyone has questioned why the Fed kept the peddle to the QE meddle. Well now you know why, to give the markets time to revert to mean. The bigger the spike, the more QE and/or time it will take to revert to mean. OK Then. Can the VIX predict a crash? I think it can and already is pointing to a near term event. If you compare the 08 GFC you will see 1 important trend of VIX since Jan 07 is a steady increase in volatility until the market eventually crashed. Unlike the March 2020 event which was spontaneous pop in VIX. Now you see, since mean reversion completed in Oct 25th, a steady increase in overall market volatility has taken hold. While the market still mean reverts after a bear leg selloff, that overall mean continues to rise. So How long before it pops? While 07-08 rise in volatility prior to its crash gives us some indication an event is imminent, it won’t be the same. I suspect it will be sooner and larger than anyone expects. If you look at 07-08s incline, It indicates we are knocking at the doorstep. It’s why I think VXX stopped issuing in March. It’s why we get such crazy market rallies in the middle of a “recession” and inverted yields. Everyone knows there is something wrong, the FED is waving their arms in the air like they just don't care. OK smart ass, then why won’t the markets crash. It’s because capital markets of today are much more reflexive than they were in the past. Since 2018, options began increasing in volume and popularity. Now, the dealers that sell those options, aka house the risk (or lack of risk) need to dynamically hedge their delta. When 1 dealer is offside from dealer 2, you can expect they will continuously hedge back and forth until…. They reach mean. This isn’t an overnight process and takes about 21 days in my estimation and is the VANNA and CHARM effects so prevalent in the markets over the past 2 years. It’s why there were such predicable dips every 19th during 2021. It’s why we got a huge bear rally this summer. (Volatility Compression). It’s why every golden cross has a death cross. It’s why moving averages provide hints to direction. OK, OK. This makes sense. But Why? Massive amounts of Delta hedging. I broke down one of the largest hedges wrapped around todays market equities and mapped out the strategies Delta graph. Delta is simple to understand and once you can visualize negative and positive delta you can extrapolate the zones of volatility. Once you map those zones to changes in volatility you have a good base to start marking assumptions. VIX Log Returns moving average. In the bottom panel I created a log return moving average that can give you a magnitude of movements. Ranked from 0-10 in increased volatility you can see that covid 19 moved the volatility scale the most in history with a 9.0 in the VIXTER SCALE. This scale can also move negative to -5 For each spike high there is always an equal push negative to bring volatility back to mean. With all this knowledge we can form a picture in our mind of a trampoline. The tension (or reflexivity) in the trampoline are the dealers pulling liquidity to their side. This includes all the hedge funds, market makers, bulls, bears, prop traders, theta gang, tsla gang, retail, institutions, etc are all pulling the trampoline tighter to their side. Each economical decision or crisis is going to launch VIX that much higher. That is until the trampoline breaks under the pressure. The FED saved banks and corporations after Covid with Stimulus, not the checks you got in the mail (those take time to trickle down to corporations), but the debt they were buying and adding to their balance sheet. That is a massive 9 Trillion dollars. That gave our trampoline the added support it needed to recover. What happens now when the FED puts that 9 Trillion in assets back into the market. The tension grows until the next crisis or event launches it to 10. Then it's... So long and thanks for all the Fish.
TVC:VIXLong
by SPYvsGME
7
$VIX Is In The Zone, Can Take A CorrectionTraders, $VIX Is In The Zone, Can Take A Correction. Watch $DXY too with it. If these 2 fall, we are looking at some relief in indices (Dow Jones, SnP500 and NASDAQ) Rules: 1. Never trade too much 2. Never trade without a confirmation 3. Never rely on signals, do your own analysis and research too ✅ If you found this idea useful, hit the like button, subscribe and share it in other trading forums. ✅ Follow me for future ideas, trade set ups and the updates of this analysis ✅ Don't hesitate to share your ideas, comments, opinions and questions. Take care and trade well -Vik ____________________________________________________ 📌 DISCLAIMER The content on this analysis is subject to change at any time without notice, and is provided for the sole purpose of education only. Not a financial advice or signal. Please make your own independent investment decisions. ____________________________________________________
PEPPERSTONE:VIXShort
by vikinsa
7
VIX Spike in Progress - 8/15/2022Spot VIX. Daily view. The VIX is beginning to behave like it did in 2020-2021. A bullish RSI divergence is beginning to form. The RSI is trending slightly higher while the VIX is trending down. Usually, this is the first step to a VIX spike to form. That doesn't mean a large VIX spike might happen tomorrow. Usually, this pattern takes several days to resolve. I say first step because the VIX has a certain "dance" to it. The next step is for the VIX to create higher lows. Usually, 3-5 higher lows would create the bigger spike. The reason why the VIX floated for most of 2022 is due to the market that it reflects. The VIX calculates the amount of hedges in the options market of SPX/ES or equivalent. Simply put, when cash is in demand or futures are used as hedges, that means hedges in options are not being bought up. When there are less options bought as hedges, this mutes the VIX spike. This type of floating action happened in most of 2008, 2015, and 2018. So, it's actually nothing new. However, as the DX (dollar strength) goes down, it means that there is less demand for cash... which means more money is flowing into derivatives. The red line that I have served me well for VIX shorts. However, I have this red line expiring around September/October which is just in time. What I am looking for is an oversized VIX spike. What do I mean by that? I mean if the VIX spikes more than 3 standard deviations, but the SPX/ES didn't drop as much (e.g. only 7%). Why is that? It will likely mean the bear market in ES/SPX would be over. It means cash is not in hot demand as it was between January to July. Cash doesn't disappear out of thin air. It goes somewhere else. If I am reading this pattern right, then we should see a spike in September. There is a possibility of near the end of August. However, it's still too early to tell. I rather be patient and let the market tell me what to do. Those who keep telling the market what to do usually do not last very long.
TVC:VIX
by Itsallsotiresome
3
When is VIX a buy? Is this a good time to buy?The truth is that it is a buy whenever the VIX gets close to 20. Since November, and especially since the war in Ukraine broke out, I've said that the VIX below 20 is a steal. The VIX has just had a mini jump because of Pelosi's visit to Taiwan, but if nothing happens between the US and China, it could fall lower. Personally believe that stocks have another 7% higher to go, which could crush VIX below 20 for a while. However, I think this would be a bear trap and a great opportunity for bulls to go through long volatility. In the short term, stocks could correct a bit more before going higher, which could cause the index to go up a bit, though I don't think a big breakout or anything like it is coming. My long-term goal (6-12 months) remains 45-50 on the index, but it needs some time to get there, and it must inflict even more pain on all those who have been holding puts over the last year.
TVC:VIX
by BitcoinMacro
Time To Buy Some New Shorts. VIX To Bounce Upward.VIX trading in a bullish pennant pattern. We have seen two really nice bullish bounces off the support trend line in this pennant pattern. I expect this next support line touch to be nothing different (assuming VIX touches support). VIX targets: 25.41 resistance first, then follow-through to 28.93, eventually reaching the top of the upper bound of the pennant pattern around the 33 area. With that in mind, I am beginning to load up on short positions and closing out some of my higher beta long positions. This is not trading advice. Good Luck!
TVC:VIXLong
by Gooby_Trades
4
The New Base Level in the VIX IndexThe VIX index is the Chicago Board Option Exchange’s CBOE Volatility Index, a popular measure of the stock market’s expected price variance of S&P 500 stocks. The S&P 500 is the most diversified of the leading stock market indices. Higher base levels in the stock market’s volatility index A correlation with the bond market Markets across all asset classes face many issues in 2022 As market participants head for the sidelines, volatility increases The buy zone for the VIX is the 20-25 level Market volatility comes in two forms, historical and implied. Historical volatility measures a market’s past price variance, while implied volatility is the consensus perception of the future price variance. The primary determinate of call and put options is implied volatility. Options prices rise when implied volatility increases and falls when the measure declines. Options are price insurance, and market participants tend to flock to the options market during bearish periods. Therefore, implied volatility tends to rise during downside corrections. In 2022, the S&P 500 has been trending lower, and volatility has increased from the levels seen in 2021. Meanwhile, the VIX index has been trending higher since reaching a low of 8.56 in November 2017. Higher base levels in the stock market’s volatility index The VIX index has been trending higher over the past five years, with two significant upside spikes. The chart highlights the spikes to 50.30 in February 2018 and 85.47 in March 2020 when the global pandemic gripped the stock market. Meanwhile, the base level for the VIX was around the 10 level from April 2018 through early 2020. In 2020 and 2021, the base rose to the 15 level, and the bottom for the VIX increased to the 20 level in 2022. In the VIX, upside price spikes tend to signal the kind of capitulation that leads to stock market bottoms. While all the leading stock market indices have been declining in 2022, the price action in the volatility index has yet to signal stocks are anywhere near the bottom. A correlation with the bond market Stocks and bonds compete for capital flows. As interest rates rise, money tends to flow from equities to fixed-income securities. Therefore, a falling bond market is bearish for stocks. The trend of higher lows in the VIX is a bearish sign for stocks and bonds. In 2022, the stock market has traded like a whack-a-mole game. While making lower highs and lower lows, declines have led to rip-your-face-off rallies, confusing market participants. However, the overall bearish trends in stocks and bonds and bullish trend in the VIX index is a sign that the bear continues to dominate the markets. Markets across all asset classes face many issues in 2022 Higher interest rates are bearish for the stock market and bullish for the volatility index. However, the markets face a lot more than higher interest rates in 2022: The war in Ukraine creates a unique side of problems for all markets. Rising energy and food prices have pushed inflation to a four-decade high, translating to pressure on stocks and bonds. The Fed’s interest rate policies remain far behind the inflationary curve, keeping real interest rates in negative territory and fueling even more inflation. The bifurcation between the world’s nuclear powers creates trade issues that distort prices, creating raw material shortages in some regions and gluts in others. The tensions interfere with the flow of goods worldwide. The mid-term US elections in November will determine the balance of power in the House of Representatives and the Senate. The election will be a barometer of support for the Biden administration. Polls point to losses for the ruling party, but the electorate remains divided, with emotions high on both sides. Voters tend to vote with their pocketbooks, but there is much at stake in November. US energy policy continues to address climate change by favoring alternative and renewable fuels and inhibiting the production and consumption of fossil fuels. The President recently said the pain of higher gasoline and fuel prices is necessary for consumers to shift to a greener path. Opponents contend that the energy shift will take decades, while supporters argue that hydrocarbons continue to power the world. The election will go a long way to deciding if the US continues its green route or shifts back to a drill-baby-drill and frack-baby-frack road to energy independence. Russia and Ukraine export one-third of the world’s annual wheat supplies and a significant amount of corn and other agricultural products as they are Europe’s breadbasket. Higher food prices and scarce availabilities over the coming months and years could spark a period of upheaval with hungry people in less developed countries dependent on Russia and Ukraine facing famine. These issues and the unknown are fueling uncertainty in markets across all asset classes with no solutions on the immediate horizon. Uncertainty is the stock market’s worst enemy. While the Fed attempts to address inflation with interest rate hikes, supply-side economic issues could mean the central bank is fighting an inflationary blaze with a water gun that will only hasten a recession or worse. As market participants head for the sidelines, volatility increases Market participants are nervous in June 2022. The price for all goods and services continues to increase as money’s purchasing power declines. Moreover, after the stock market gains over the past two years, monthly IRA and investment account statements are eroding at an accelerated pace. As of June 16, the tech-heavy NASDAQ had lost nearly one-third of its value from the late 2021 high. The S&P 500 was down more than 22.8%, and the Dow Jones Industrial Average fell around 17.5%. Consumer confidence has plunged, and a general disgust and malaise are settling over markets across all asset classes. Rapidly rising interest rates are making new home purchases prohibitive, even if prices come down. Meanwhile, we are heading into the peak summer months with the stock market in whack-a-mole mode. The odds favor a retreat to the sidelines for many market participants over the coming weeks and months. Less participation causes volumes to decline, and in the current environment, will likely increase price volatility. As many traders, speculators, and investors turn off their screens and head off on vacation, bids to buy are likely to disappear during selloffs, and offers to sell will evaporate during recoveries, making rip-you-face-off rallies even more dangerous. Higher volatility will only add to frustrations over the summer of 2022. The buy zone for the VIX is the 20-25 level The VIX was over the 33 level on June 16, but it fell as low as 23.74 in early June. The trend of higher base levels for the volatility index increases the odds of success for purchasing the VIX futures or VIX-related products on dips to the 20-25 area. The VIX is a trading, not an investment product. Approach the VIX with a solid risk-reward plan and stick to the program. Look for better than even odds opportunities, take small losses at risk levels, and look to increase profit horizons when the volatility index rises. When adjusting profit targets, remember to raise the risk points to levels that protect profits and capital. The trend in the VIX is higher, and the potential for a substantial upside price spike is rising. Trading the volatility index from the long side could be the optimal approach over the coming weeks and months as the market faces significant issues and liquidity is declining. Fasten your seatbelts as the whack-a-mole stock market could experience head-spinning moves over the coming weeks and months. -- Trading advice given in this communication, if any, is based on information taken from trades and statistical services and other sources that we believe are reliable. The author does not guarantee that such information is accurate or complete and it should not be relied upon as such. Trading advice reflects the author’s good faith judgment at a specific time and is subject to change without notice. There is no guarantee that the advice the author provides will result in profitable trades. There is risk of loss in all futures and options trading. Any investment involves substantial risks, including, but not limited to, pricing volatility , inadequate liquidity, and the potential complete loss of principal. This article does not in any way constitute an offer or solicitation of an offer to buy or sell any investment, security, or commodity discussed herein, or any security in any jurisdiction in which such an offer would be unlawful under the securities laws of such jurisdiction.
CBOE:VIXLong
by Andy_Hecht
1
NQ Power Range Report with FIB Ext - 6/28/2022 SessionCME_MINI:NQU2022 - PR High: 12087.00 - PR Low: 12053.50 - NZ Spread: 75.0 Evening Stats (As of 12:00 AM) - Weekend Gap: = N/A - Session Open ATR: 396.33 - Volume: 27k - Open Int: 241k - Trend Grade: Bear - From ATH: -29.0% (Rounded) Key Levels (Rounded - Think of these as ranges) - Long: 12390 - Mid: 11820 - Short: 10680 Keep in mind this is not speculation or a prediction. Only a report of the Power Range with Fib extensions for target hunting. Do your DD! You determine your risk tolerance. You are fully capable of making your own decisions.
CME_MINI:NQU2022Short
by mv3trader5
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