SPX

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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VXX looks ripe again

Today retraced most of the goldilocks rally in stocks on Friday.  2 days pass and without any real good news (TPP failed in the Senate) stocks had a hard time mustering anything.  Early morning bond selling started things off on the wrong foot too.  The reality is the fear is just not there as the big elephant is rates and the ECB is content to plod along with bond buying until the Greece issue passes.  We only catches glimpse of what will happen when rates start to reset.  For now that is just not happening.

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VIXMO is more VIX

 

Mark made a great observation yesterday on bond IV being relatively low.  Today we had the 2% move and he was right.  VIX is sitting in an interesting place as we are seeing 1% intraday SPX moves right now on the recent volatility in European bonds.  If today was last year, the VIX future would have closed even with the old VIX cash.

 

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VIX Pointing Toward a Breakout...Finally?

The VIX touched about the lowest level its seen all year hitting as low as 12.10.  At the same time the SPX continued its threat to break out higher.  And from what I am seeing I think it could happen as early as tomorrow.  A pattern is developing of the SPX grinding in place, but seeming to have a trend that is slightly higher.  At the same time,  the VIX is absolutely trending lower.

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What happened to the skew?

Today was just a follow through from yesterday.  Bond markets get riled, equities are sold, mess ensues, repeat. When VIX gets into the 12 handle (as it did for a while yesterday) the gravity in volatility is still pulling the IV down.  Today the selling was more pronounced, like someone needed to sell.  Many of the big cap names were slammed, most likely to pay for bond positions that were blowing up.  The short Euro trade must be hurting a lot of folks.  Those folks should want some juice.

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Our Founder on Bloomberg talking SPX and VIX