Mark Sebastian's blog

VIX Futures Say One Off

The VIX was up a nice ammount today.  But I am pretty sure that there is little chance we are going to have a serious issue.  Why?  Becuase of the VIX-VX spread.  The VIX was up 2 points,  the VIX future in June, was up only .50.  It didnt even SNEEZE when the SPX sold off down near 30 points today. Topping off at up about .65 on the day.


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$UVXY and $VXX The Problem $VXUP Doesn't Solve

With the launch of VXUP and VXDN shares by accushares, the issuers of UVXY slipped in that the ETN is reverse splitting 5 for 1....again.  2 years ago, split adjusted UVXY was about 200 dollars,  thus it has lost about 96% of its value.  Kind of a rough go.


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TLT Vol is Still Too Cheap

This blog has made note multiple time that the bond market has started to move.  What is important to understand is that unlike markets like gold, or even currency.  If the bond market moves out of its range so will the stock market.  However, there is a more important point to made with bonds right now:  its too cheap to own gamma.  Take a look at 10 and 20 day realized volatility relative to implied.

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The VIX People Should Be Talking About

Yes,  today there was a huge trade in the VIX pit.  It is only news because its a slow day.  While that is a big trade it is no where near the biggest that pit has seen and would essentially be a light sneeze in SPX.  To make matters more interesting, that is not the VIX index that is going to be leading.  Many traders are noting that the SPX has been the tail to the bond market's dog.  Well  the VIX is likely to head the same way.  We have seen increases in IV of FX and Oil affect the markets.

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