After what ammounted to a 2011 type explosion out of the Oil VIX, OIV, it appears that option premiums are starting to back off the highs. After topping out as high as 66% in Feb, OIV has been not traded above 50 for 3 days in a row. The last time OIV was below 50 for 3 days in a row with out a tick above 50% was in DECEMBER. This points toward what I feel could be a real bottoming in Oil vol premiums.
Surprise, surprise as stocks took a bit of a header today, on get this, a great jobs number. Yes the number was too good and now interest rates look like they could go up after all. The Euro and gold responded in kind by plunging to lows of 2015. Bonds took out some lows for 2015 too.
If January was the month or realized volatility March is turning out to be the dud central for realized volatility. HV 10 is clocking in around 5% so stocks are barely able to make move from close to close. The skew is pretty steep keeping VIX higher but for the most part ATM volatility is low. 30 Day IV is in the 11 handle ATM so there has not been a total collapse but it is getting there.
This was a strange day in the market when stocks really lacked a sense of direction. For the most part the tone was down and VIX was up slightly but the volatility futures actually finished down on the day into the close. There was really a lack of interest more than anything else as the race to NASDAQ 5000 left everyone with an empty feeling.
VIX is having bouts of self-doubt about halfway through the day the last couple of days. The 13 handle is acting like kryptonite which repels all VIX declines. The SPX is in such lofty territory that any pullback is taken as a sign of worry.
One thing I like to scan for is what stocks and indexes are hitting 52 week IV lows. Today, I was surprized to see the RUT on that list. The RVX (the VIX of RUT) touched a 52 week low today. While that on its own is not that interesting, the fact that the VIX is over 2 points above its 52 week low is certainly interesting and might be informative. Take a look at the returns for the VIX and RVX over the last year:
The VIX settled a touch below 13.70% today. Its lowest settle since early December. The VIX futures on the other hand are no where near that level. Take a look at the curve as its stands now. Notice the GAPING whole between cash and VXH5
There are all sorts of patterns that are ugly for stock charts, but many do not know that there is bearish stock indicators that are derived from volatility. One that is particularly bearish is the combination of sinking volatiltiy and a sinking stock at the same time. This is developing in BABA