VIX - DAILY + FED @ 12/12The directors of all twelve Federal Reserve Banks favored maintaining
the current primary credit rate at the existing level (0.25 percent).
In light of the uncertainties associated with the economic outlook,
the directors judged that it would be appropriate for the FOMC to
maintain the current stance of policy
--------------------------------------------------------------------------------------
Pelicans confirm, Policy Accident ahead
VXM1! trade ideas
VIX - Use Support for IndicationsThe VIX remains Bid.
Large Range - which will trade.
No need to Guess.
Obey.
__________________________________________
22.70 to 23.10 the Support Zone.
No Shortage of MAcro Data and Fed Pelicans to
move this around.
After the 4th largest one-day percentage spike in history
and the 5th Spike this year... the Market undercurrents are
one of danger.
The Range expansion illustrates how desperate the Operators
are to continue the pillaging.
THE MOST IMPORTANT NUMBER TODAY WILL BE CB CONSUMER
CONFIDENCE.
It will shape the Trend for Today.
With CL weakening, using the 36 - 85 and 42 - 85 Draws for the
Larger Range, the YM Leading along with the NYSE COMP.
The Operators need a Save this week... desperately.
31 remains open on the VIX - 64 to 86 to 126 can open should
it break that APEX and then moves to 38/42.
Anything can happen... it is simply a disaster the FED has engineered
with this latest Credit Cycle.
I do not believe we see anything other than a Large Pullback to Daily
144's to 377s... but, again, anything can occur.
_________________________________________________________
Use the Volaitlty Complexes for Instruments - they are the Leaders.
VIX Daily - 2021 Lows to HighsWhat is encouraging after Sunday GLOBEX:
The VIX exceeded the 50% of 2021 and although
it did not make a new high against the Prior Spike High
On a Percentage Basis it was the 4th Largest Percentage Spike
The Prior Spike did NOT.
_________________________________________________________
Use the VIX Pullback for RT Targets for ES YM RTY.
VXN for NQ.
VIX Range for Today 22.30 - 25.15 with 23.40 as the Pivot
*** 22.50 is the LIS.
_________________________________________________________
With Powell speaking late today the Operators will no doubt pull
out the stops to make the Re-Anointed Chair appear Gilded.
Long week ahead as this develops.
Large Gap Below on VIX.
VIX - VXZ Front Month / MonthlyA Gap 10 Handles below - Weekly and Monthly Chart which is of concern
for the Bulls.
Delta remains the trade in the VIX.
Extensions in Trade, this can become an exponential move barring no
Monkey Business from the Operators, ESF, and FED.
_________________________________________________________________
The 54.04% move Higher was the 4th largest move since the inception of the VIX.
2021 - 61.44%
2007 - 64.22%
2018 - 115.60%
For the Point move, 10 Handles ranks 18th, 2020 was 1st @ 24.86 Points.
Statistically, the percentage move on Friday is an extreme outlier.
__________________________________________________________________
Price Left a lower Gap 10 Points below.
Implied Volatility of At The Money Options... need to be Observed.
VXX Spike @ 4 Highest. for M1/M2
____________________________________________________________________
For Historical reference - the OEX or SP 100 Equivalent during the 1987 Reversal:
Baseline VXO (Correlated Historical) Spiked to 30 from 18.22.
At the time I was working at Drexel and will never forget how Investors began
selling OEX Puts at the Money/Above - believing the one-day event was a knockoff.
This was Friday., end of week anomaly. Screw Germany was the thinking. The Ripples
will be contained. Greenspan provided the Emergency pat down to Member Banks
the following week, reminding them - this event must be contained for everyone's
Financial health.
The S&P 500 lost 10% the week ending Friday, October 16, 1987 and lost an
additional 20% the following Monday, October 19, 1987.
__________________________________________________________________________
Nervousness appeared the following Monday AM briefing @ 5 AM. John Jetter asked
the team to contact clients and reduce exposure to OEX to reduce Risk.
Monday did not end well for those who did not heed his strategy.
The VXO on Equivalent - Spikesd again to 170+ Monday, setting near 150 on the Day.
This was THE largest single Daily move in Market Volatility in History.
The One Day wonder turned into the largest Bloodbath in History for Bulls and
sellers of OEX Puts, Dip Buyers, and the Pop and Fresh Peter Lynch Herd.
They were decimated, the Magellan Fund took its largest 2 Day loss ever. Small
Caos were raked - defeating the individual investors had inherent advantages
over large institutions Thesis.
Theories do jump out of High rises in a Lifetime of Investing.
Leverage was not an issue then as it is now.
It sets a preamble for enormous declines, the Potential for them.
_______________________________________________________________________
Will History report?
It has a higher than usual Probability of doing precisely that.
We will see, at some point, there will be an outsized retracement, from where...
Fundamentally Straight down or not at all.
Interesting times indeed.
VX1! S&P 500 VIX Futures continuous contractsNew is always given for the cause of market changes but could the announcement of Jerome Powell vs Lael Brainard decision be a market mover? We will see.
Should this chart play out...a third higher low could spark volatility to increase. I see a 1, 3, 5 pattern forming which can affect the market.
Time & Price reflects a change somewhere near Dec 6th - Jan 18th with the sooner being my target.
Watch for divergence in these products! Also, watch for the 9 count to appear.
VIX - (VXX) Settles tomorrow - VXZ @ 96% TomorrowUnfortunately, although the Spread has been cut in half, there will
remain the usual Gap Fill to complete as VIX INDEX (Cash/Spot)
will square Price at the end of tomorrow's Session.
VXX will equal the VIX Index.
_________________________________________________________
Wednesday's will show, surprise, another Gap on the Continuous Contract.
The Gap will be at the 4 PM EST Closing Square Price.
_________________________________________________________
UVXY Fans will not be amused once again. As the UVXY will be front-loaded
in new Decay and perhaps new Lows around 13.89, should 14.46 let go.
This is why the UVXY spends the majority of its time going South.
Unless, of course, there is an Event, then... Katy Bar the Doors.
Katy is a known Degenerate.
_________________________________________________________
Time to trade the VX Complex passed last week, a Retracement did
not develop, although by appearances - it did appear Probable.
Wall Street taketh away.
The One time a Month the Vix can go Vertical came and went.
_________________________________________________________
Where does this leave us?
Where else, defensive with a healthy dose of patience and Cash.
_________________________________________________________
On a Positive note - An accident is very close. China's got Probs,
Bigguns.
Actually the "positive" would be simply a gain in Position Capital.
Positive... yeah, naw. Not at all as, bad arrangements - Este es Muy Mal
por Hente in Todo.
_________________________________________________________
Probability favors a consolidation, but Tuesday has been ALGO Grinder
day for months on end, so we shall see how Yields behave at 8 AM EST
tomorrow, prior to placing any Degenerate Bets @ the Flamingo.
_________________________________________________________
Today behaved as if Price is Consolidating.
For What, Magic 8 Ball suggested - "Ask again later"
VIX - Spread Into Settlement / DEC INDEX Option Structure
The prior 398 Tick Settlement has declined to ~269 Ticks.
__________________________________________________
Daily Low VX Price Objective remains 12.25.
It is difficult to Imagine - A VIX print this Low.
__________________________________________________
December has become a significantly distorted Settlement Month
for Equity Future Contracts
__________________________________________________
ESZ21 - S&P 500 E-Mini (Dec '21)
Implied Volatility: 12.95%
Put Premium Total $422,602.50 (Deep - Out of the Money can Mask Large Decline Potential)
Call Premium Total $10,005,752.50
Put/Call Premium Ratio 0.04 (Extreme Bullish Sentiment)
Put Open Interest Total 771,656
Call Open Interest Total 263,145
Put/Call Open Interest Ratio 2.93 ( Ratio of outstanding positions that need to be set off before or on expiry)
__________________________________________________
Dow Futures Mini Dec '21 (YMZ21)
36,013s +184 (+0.51%)
Put Premium Tota l$3,123,245.00
Call Premium Total $6,532,215.00
Put/Call Premium Ratio0.48
Put Open Interest Total 824
Call Open Interest Total 316
Put/Call Open Interest Ratio 2.61
__________________________________________________
Nasdaq 100 E-Mini Dec '21 (NQZ21)
16,192.75s +170.00 (+1.06%)
Put Premium Total $6,589,153.00
Call Premium Total $30,371,383.00
Put/Call Premium Ratio 0.22
Put Open Interest Total 47,828
Call Open Interest Total 31,758
Put/Call Open Interest Ratio 1.51
__________________________________________________
The Challenge - Who gets paid First, because both will.
VIX - M2 DEC / 3 Days to Roll - Settle Tuesday Close20.10 will be the KEY Level for the M2 CT.
December holds the Keys to today as NOV
is sold...
Unless it is held onto...
We shall see.
_______________________________________________________
A bid for Protection would affect both M1 / M2 until Settle.
_______________________________________________________
Friday - have not had a deeply Red Friday in quite a while.
VIX: 1592 - 1645 Friday's remain unkind to the VX COMPLEX.
These are the 2021 Levels to Watch the ATL and
the Prior Lows.
With VERY LARGE Distortions shaping up in
Arbitrage from the clear control patterns
formed for Volatility...
Danger Lurks.
AS the VXN was making a Daily High, NQ
was performing the same feat.
Caution warranted as this is setting up to
Flash Crash - Potentially and why we are
Positioning for this event.
Tops a process
VIX - CC 17.55 remains the Pivot for Reversal.
It can/does dip into .618 - .764s prior to reversal.
The VIX remains in a downtrend until it breaks.
50% Sells on indexes have traded this AM Session.
Resistance treaded First @ out 988 Target for NQ,
16034 remains the upper Boundary - IntraDay.
___________________________________________
Where is Deep Support on the VIX, we'll find out this week.
VIX - Prior M1 Contract Lows to highs in TradeMind levels for the VIX for October Roll/Settle
November has other Ideas taking shape.
We are quite likely going to see another VX Incident
ahead of November ROLL/SETTLE.
The same applies to the VXN... Put Buying is Non-Existent
as the deranged chasers are all in on Call BETS.
We are positioning in VIX M1/M2 & VXX at Levels.
Listing ahead, near capsize.
398 Tick Spread on Settle... comes into Trade.
Know how to Trade it...
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."
VIX - Spread Issue / Friday / Hat TrickThe ES has completed our Price Objective @ 4546 during Globex.
It did exceed it by 1 Tick, 2.5 Ticks short of an ATH.
The VIX falling back to its 50% can provide a Lift to the ES to
new ATHs.
With the widespread on VIX Settle, higher remains in the Trade as the
continued effort to Lift the Equity Complex and turn the weekly
indicators to a BUY is losing momentum...
We will be awaiting the reaction at the prior ATHs.
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.
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.
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.
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.
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.
VIX - M1 Roll Begins 2DayThere will be 3 important charts for the VX Curve
1. M1, the Current Contract (October) which will see Rollover begin to execute.
2. M2, the next month forward Contract (November)
3. The Spread or Roll Yield Capture.
For the purposes of Settlement next week, we will Observe how CASH/SPOT VIX
squares with the settling M1 and Begin to see 100% of M1's Commitments flow to
M2.