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Cboe Volatility Index (VIX) Futures

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VX1! trade ideas

VIX - Day 190 Curve Contango / VXX / VVIX / UVXYThe VIX Roll Yield was 398 Ticks of Spread on Settlement. It has since come into 336 Ticks VX1/M1 over Spot. The Curve has remained in Contango for the second-longest period since the creation of the Volatility Complex in 2004. 273 Days remains the prior longest Contango Duration. ___________________________________________________ Roll Yield close over 20%, the mean is ~ 8.55%. More than 2X the average. This implies the continuation of the current period of sustained lower Volatility. Intra-Day, compression brought the M1/M2 into Backwardation a few weeks back, on Close, it traded back to Contango. ___________________________________________________ Traders are clearly Trend following, comfortable with the VOL Crush as Vol of Vol (VVIX) traded through 105 tp 102.36. VVIX traded to 100.06 on October 21st during the 15:00 Hourly Bar. The Spread Gap to close for the Continuous Contract has a great deal or room to resolve. 2021 the VX Curve Trend has been Lower, as it was from the ATH made in 2020. A Daily Downtrend with a clearly defined Price Objective @ 12.25. ___________________________________________________ Chasing WaterFalls has paid in the VX Curve as Sellers have seen a continual decline, with few interruptions. ___________________________________________________ The VXX (Constant Rolling 30 Day Maturity) is making new lows. Price will again on NYSE OPEN - IF the Globex Price Levels hold from the O/N Ramp and Camp. 20.75 will be exceeded to the downside. Uber Kink - UVXY - has made another All Time Low @ 15.70 while continuing to Ride the downward slopping Lower Weekly Trend Line. There are a great many "This is It~! (TII) moments in the 1/5X levered UVXY. It has its teeth pulled long ago when the 2X was cut by 33% to current levels of 30 Day - All in Positions on VX which has been systematically Crushed. Positioning for the Big Lick there has been met with "Capital Relief"... ___________________________________________________ For now, AND this is subject to change... Wall Street has the VX complex well contained. How much longer will it last? It will depend, of course, on how the next two weeks unfold through the Meat of EPS. We have the FED and further Taper Talk into early November ___________________________________________________ The VX Complex moves "Out of Balance" - only to be brought back into "Balance" once everyone has begun Whale Watching Portside. Starboard list is approaching. ___________________________________________________ There are a number of concerns building within the Equity Complex, how long will they require to resolve... will depend on how carefully worded Companies reporting temper their "Inflation Warnings."
CBOE:VX1!
by HK_L61
2
VIX - November M1 @ 96%This will get interesting as Price begins to resolve the Continuous Contract for the VIX M1/M2. The prior October Range: 14.70 -24.00 As November begins to square Price is within the Window for the potential of the VIX reversing Up @ 9.89% of Settlements. Effectively placing Price in a Desert, a nowhere landscape. The Monthly Trend is quite Clear with a lower-Price Objective @ 12.25. What happens this week will provide further insights into whether 4/5 is complete and 5/5 has begun, or we see something entirely different. Longer-Term TF's favor the Latter for now. We shall see.
CBOE:VX2!
by HK_L61
4
VIX - M1 Completing Lower Daily GapsAs M1 continues the Roll to M2 (November) we see the 2 Primary Gaps coming into Range The remaining Gap resides @ 16.20. The VVIX remains stubborn in its FILL into the Corner @ 105. It remains in strength during a period of extreme M1 Weakness. A very good sign, as it indicates out the Curve, there is IMMENSE Support. Institutions are quietly hoovering up the VX Complex Curve, which in turn Supports our Trade Plan for the loss of momentum and roll-over to the 200SMAs. Next Wednesday / Thursday continues to appear as a Pivotal day for this Counter-Trend.
CBOE:VX1!
by HK_L61
VIX - Squaring the Continuous Contract October 20, 2021September Closed the @ 19.71 yesterday, an important Level for the Continuous Contract to Observe, for now, it will change again. CASH/SPOT VIX @ 17.81 this morning. CSH Will Converge to M1 (October) into next Tuesday/Wednesday. There will be a Gap in the Continuous Contract as long as the VX Curve remains in Contango - presently the spread is 205 Ticks x 1, the VIX trades @ 5 Ticks. Convergence will provide LIFT for the Indicies during Roll to Settle as we indicated and provide the cover for higher Index Prices in the Equity Complex. Curiously, there is the October 21st Pivot timeframe appearing again... For September, we have the 19.20, 18.60, and 18.20 as Ghost Levels with the larger 16.20 GF and 12.30 as the 5/5 extension low once 5/5 completes for Equity Complex.
CBOE:VX2!
by HK_L61
3
VIX - Roll Yield ImportanceImportant Note, the Roll Yield is important for the VXX. I have heard countless YouTube and Forum Gurus dismiss the VXX as a Junk Derivative. A Scam... Nothing is further from the Truth. That statement demonstrates how there are far too many "Gurus" with no understanding of Volatility itself. The VXX is comprised of the 30 day Short Term Rolling Maturity outline in the prior 2 Posts. We simply laid the groundwork for how this all comes together to show how "balance" is achieved for the VXX Instrument.... it is constantly moving from M1 to M2 the Day it Settles. Hopefully, this was clear enough for those unfamiliar with how Volatility works in the Futures Markets and how it impacts ALL Markets. The Methodology is known, it is based upon VIX Futures in relation to the Spot VIX >>> SPOT VIX & M1 @ Settle "Converge" then to become equal in Price @ PAR. Roll Yield is how the VXX Derives its Price. VXX is not a STOCK, it is an Index based upon M1/M2. It simply is a Wash Rinse Repeat cycle Index for M1 / M2 in Constant Maturity. I received a message asking me to explain this, Hopefully, it is clear now.
CBOE:VX1!
by HK_L61
3
VIX - M2 Into Settelment (Next Wednesday)Next Wednesday the M2 will "Settle" becoming the Front Month or M1. 100% of the Constant 30 Day Maturity will be concentrated on this Date. Each day thereafter, M1 will begin to flow to M2 (December 2021) at a rate of roughly 3-4% per day, depending on Traading/Calendar Days. When the VIX Curve is in Contango - M2, M3, M4 higher than M1 we will see a Gap left as the Continuous Contract Picks up off the prior Ghost levels of the Prior M1 Contract. Presently the Values out the Curve by Month: DEC 22.60 JAN 23.80 FEB 24.35 We see clear Contango as Prices are higher out the Curve.
CBOE:VX2!
by HK_L61
2
VIX - Trade Plan for VOL CRUSH ReversalAs Roll / Settle approaches for the VX M1 - M2 --- they are attempting to fend off the 50/200 cross for the VIX... good luck riggers on the trigger. M2 will appear to have a Gap as the Continuous Contract Squares. Typically we see a front run of Volatility ahead of Roll and things pickup again after settlement as Wednesday to Friday is EOW and decision time. SO much depends on Yields, it cannot be overemphasized. The slightest move there sends Equities lower rather quickly. Methodically but we see how the Equity Complex responded to the small move at a pivotal price. A print of 1.69 and then 1.571 spooked "them" Were we to throw over the 1.63 level, this can simply implode on its own, just as everyone was getting comfy with the Retracement. Tomorrow's macro Data along with next week will be all about the Taper, so the final hour will require a large effort to bring down the 10yr Yield and bring up Equities, ideally, they need to close at or near the highs again... or they are left to Globex. Asia and the EU isn't going to be too keen on bag holding while the cost of borrowing continues to rise.... they need this up, up, up. The CASH/SPOT VIX traded down to 19.07 today prior to Put buyers again bidding the lows. We saw the VIX trade 20.00 - the month's long Pivot... eek, again? It's one enormous magnet for Price time and again. 80 Ticks below is the Gap Fill... just fill it already... get it over with so Price can move on. This is not Retail, it is Hedge Funds, Insts, and Pros who are supporting and adding Protection to offset what they could not unload on the last Dump. We saw the VXN Dip in under 23 to 22.89 and reverse as the 10 Yr Yield began to test 1,57 ~ currently at 1.569. Globex will be required to gain traction again, there is another panic shaping up, one that will catch the Herd completely off guard. The VVIX is behaving as it should... providing a clear warning again of what is ahead. The next 24hours is critical, as this developed we needed to see a few things... they have appeared. There is a very large termor ahead.
CBOE:VX1!
by HK_L61
23
VIX - Friday RangeAnticipate the Globex Gap Up to return as the VIX tests 22.40s - the Daily Pivot for the VIX. The VIX exceeded its lower Objectives, on the Daily - 22.40 was the Level. The Sell has the potential of providing support to the Indicies as it is Friday. A great deal will depend upon Employment Claims, Flash Services and Manu PMI. In turn, it can pivot at 9:30 AM EST, I am using yesterdays 9:30 Pirce for Pirce @ the NYSE Open. RTH Gaps remain overhead for the Indies. 1/4 to 1/2 Size today.
CBOE:VX1!
by HK_L61
5
VIX - Daily Contract Range ( NQ ES YM )The VIX broke its .500 by 2 Ticks to pull back towards its 22.25 Support Level. VXN, no different, the pullback towards its Support from the Measure move of the GAP to the Highs. The indices will complete their retracement measured moves ahead of the FOMC tomorrow, entirely normal after yesterday's extremely large Volume Sells. We anticipated a Retracement back up ahead of the FOMC. It is normal and useful as the SELL Fills in the DOM await. Price will move to its 200SMA after this retracement is complete. The Die as they say is cast for Lower Prices, as we have indicated the 200SMAs will not hold but create a failure towards the 400SMAs. _________________________________________________________________________ NQ - Daily Range 14807 - 15708 The retracement Levels for SELL Fills: 15258 15364 Gap Fill Open The Objective is 12754 _________________________________________________________________________ ES - Daily Range 4294 - 1550 The retracement Levels for SELL Fills: 4421 4452 Gap Fill Open The Objective is 3982 _________________________________________________________________________ YM - Daily Range 33478 - 35548 The retracement Levels for SELL Fills: 34512 34753 Gap Fill Open The Objective is 28.200 to 31,000 ________________________________________________________________________ Summary Market Structure observations proved to be correct. The Trade Plan was executed and closed successfully. The Markets are weakening and moving to their 200SMAs, we do not anticipate this the level will hold but move lower towards the 400SMAs. Divergences that had been building for several months came to pass. 3x and 4x divergences take time to resolve, we are nowhere near this in time. As this unfolds it will fool a great many who have been trained to BTD. Inexperienced Traders are now touting Dow 37.000. Not going to happen, Price has a great deal of work in a Southerly Range. The Flash Crash began and ended yesterday. It will be back in force again shortly. Creating Lower Lows. We will see where the Backtest attempts to gain its FILL. The trendline or the Gaps above. There is no Gap and Trap, our indicators remain Bearish. Pirce has failed the Momentum Line. The 100 SMAs were tested, for now, the 50SMAs could be backtested with an overthrow. ROC's should return to their respective Centerlines @ 0. Micro Counts completed, a reversal is to be anticipated. _______________________________________________________________________________ Any retracement higher will be met with further and intensifying SELLS. "Buy the Dip" will be crushed again, after this retracement. The VIX remains the Guide. Trade Safe and Prosperous. - HK
CBOE:VX1!
by HK_L61
12
VIX - OCT / VIX & VXNFrankly this is all we need to watch, the VIX has consistently been Bid into Settlement only to fall back to LT Support. Will we retest the Highs or come up short and continue the Institutional SELLs. ES - 4451.50 is the Support Level for ES / 3493 - 3498 - 3509 - 3512 - 3521 YM - 34527 Pivot / 34994 Objective NQ - 15388 Pivot for higher and Micro Support We are SOH until 10 AM EST and watching how Macro Data impacts Price levels. It will be all quiet until the FED next Wednesday. The buyers strike was filled on the Squeeze, is there Fuel left? We shall see. DX - DX/JPY - Yields indicate Risk Off remain in trade. Flip a Coin, it will depend on BR / VG / FED and Inst's sitting on Hands for higher levels. *** Our bias remains R I S K OFF at levels for reversals.
CBOE:VX1!
by HK_L61
14
VIX - Potential for an Index Squeeze is building - CautionToday will determine as to whether this SELL takes a breather and provides a large retracement for the ES YM RTY and NQ OR Continues Buyers are on Strike, Sellers need to be the new Buyers. VIX Settlement is today - Price has a Gap to Fill Below. We will be waiting for the Range within the Micros and larger Daily Timeframes to resolve prior to entereing. _______________________________________________________________ FED annouced new Coupon Purchase Schedule and we see there is Support once again. SOH Until NYSE open and 10AM Inst Open. Prosperous trading - HK
CBOE:VX2!
by HK_L61
10
VIX - Market Direction2 full weeks until Expiration / Roll / Settlement The Price patterns have been clear for months. VIX is within a Larger Daily Sell. 12.30 remains the Lower Daily Price Objective. Fridays are difficult for the VIX as BR/VF become sellers against protect being placed to Hedge Equity Positions. Distribution has been ongoing for weeks. There is a great deal to SELL remaining. That said, the Indices "feel" weak. The appetite for Risk seems to be waning... Anything can happen here. watch the VIX closely as the lows let go and it's going to provide a Bid for the ES / RTY / YM. Nq seems to be doing it's own thing - Use the VXN for INV.
CBOE:VX1!
by HK_L61
1
VIX - VJH / Financials / Bonds / Velocity / Scope / ScaleGood Morning - Hope this finds everyone well. The Virtual Jackson Hole Symposium begins a 3 day affair today. _______________________________________________________________________ Bonds Macro Data includes Preliminary GDP and Unemployment Claims @ 8:30AM EST. Economic Calendar - www.investing.com Bonds out the Curve 10Yr (ZN) - 20Yr (TLT) - 30Yr (ZB) have been pulling back. As we indicated in prior commentary, the ROC (Rate of Change) is seeing increasing Velocity ahead of VJH. The 10Yr is the weakest Instrument. Volatility in Bonds, we anticipate will begin to Increase. Bonds have been the Deposit of Choice, regardless of Real Returns - the Return of Capital as opposed to the return on Capital - this speak volumes as to what is coming. An assured loss in Bonds is axiomatic as Inflation remains well above Real Returns adjusted well beyond the CPI/PII inaccuracy. _______________________________________________________________________ Financials Traditionally, Financials respond well to Positive Rate Adjustments. In prior Macro Observations, we Indicated some time ago, Banks were no longer lending. We began to Observe Banks reducing Lines of Credit (LOCs) and Revolving Credit. Reverse Repurchase Agreements began a change in Term Structure early in 2021, with longer dated terms out to 48 Days, some further duration. As Economic activity is grinding down, Banks were exposed to increased Deposits. Liabilities, which they began to shun, driving increases in Money Markets, which have become Bloated. This is reminiscent of when the Dollar Broke Par during the 2006-2008 Financial Crisis. This one event spooked the Markets, it set off a large Panic. It was not until Janet Yellen and Timothy Geithner arranged for $2 Trillion in Short Dated Treasuries to be authorized, did the DX crisis abate. The Dollar is being hoarded as Fear continues to compound. It is the Senior and Reserve Currency and during crisis, remains the preferred Position. The thinking is simple - Why give the Government my Money as it is assured a loss, the Debt can never be paid back. It can be paid back synthetically - a Tomato would be $1,400.00. _______________________________________________________________________ Volatility Events - Important Events to Market Participants, speed up Market Activity. It expands the Scope and Scale of participation, while having a large and profound effect upon the speed of Trading Activity. Prices become extreme in Intra-Day actions. Yesterday, we observed a large Bid under the Front Month M1 @ the 19.00 level. Protection was being Bid there. During Globex, we saw 18.95 trade, a one tick dip below, this is quite typical as the VX always trades a one Tick move above or below when it is staging. And it is... the Falling Wedge on the Daily has provided 7 Months of Wash Rinse Repeat declines programmed to perfection. The larger Daily Targets for the VIX M1 extend to the 12s. The problem is, they haven't traded below 16... All eyes should be on Volatility as it begins to pick up. As many of you know we have a large VX Position - VXX, VX Curve, VXM, we will continue to build this position into September. We anticipated a Break of Trend for the Globex Tuesday night session. It failed to materialize as Distribution is incomplete, but very close to ending. Last night's GLOBEX Session was a clue, we saw indecision. We are watching the VIX M1 Front Month @ 10:00AM EST for 19.65 as the level to indicate the VIX Curve will be breaking up and out. To be clear, this is NOT the Cash/Spot VIX - the Instrument is the Front Month Futures Contract. ________________________________________________________________________________ Our Position Sells are weighted heavily in TECH and VOLATILITY. We anticipate at least an 11% Correction form the most recent ATHs. It is developing, albeit slowly... this is about to change IMHO. BE well, Happy Hunting. - HK _______________________________________________________________________
CBOE:VX1!Short
by HK_L61
3
VIX - Defends with a Front Run on SEP CT - Aggressive BID comingProtection is being bid again in a larger than usual front run of Gap Fills below for the September Contract. Don Jerome Pablo Escobar Gavaria Powell made certain yesterday's close was another barn burner after announcing September would see the taper arrive. Thinking about thinking about thinking about thinking has concluded. All the signs were there, and... ya can't say the BOG @ the FED did not warn as Voting Member after Voting Member made it clear - it is time. And.... Corona Babona is Back Baby! How do you solve the Rental Crisis? With another crisis, of course :) No such luck today it would appear as FEAR is gaining further traction. RTY is leading the decline, ES NQ YM obliging the setup. Hopefully we see one more throw over for additional entries. Macro Data continues to confirm the Global choke hold as Growth is gone going. The Globex Gap down is ripe for continuation. Correction gains in probability as the chasers of the Likes of Tesla, Amazon and Semi-Conductors are being lit up repeatedly. Rarely, if ever, does the BTD and Hubris peak in a level of sheer silliness without cause in horrific Economic Circumstance. The Fanbois were smoked for 7% in 2 days. The APES pray to the Squeeze, the Gamers will need new consoles for the next big things and Nokia will head to $120. "They got a contract on the Moon Bro!" Ok, good luck. We'll take the hard fade on this every time. Enjoy the show.
CBOE:VX2!Long
by HK_L61
3