$VIX

VIX future premium is too skinny

      

Any down day in a week for the SPX that does not see many is significant for VIX.  Not that VIX moves a ton yet but for what it sets up going forward.  For VIX traders VIX should go up when SPX drops but this is really not a big move on a percentage basis for SPX.  After all, the move was less than .50% for SPX but a full 1 point pop in VIX.  Even in low vol the VIX cash moved seem a bit rosey.

 

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VIX futures the quicker picker upper

For a moment there I thought hell froze over as a bi-partisan plan for the AHCA might keep it running for two more years.  Keep buying the insurance companies I guess.  Today was such a snooze that I have to go observational.  NFLX was not enough to excite although 70% stock price gains this year are exciting enough.  Let’s talk VIX because it did something slightly not normal but normal today.

charts from VIXcentral.com

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The 3 day rule

The 3 day rule

No, I did not invent the 3 day rule, but I like it.  In the old days a stock that went up 3 days in a row was susceptible to a pullback.  The 90’s put the rule on hold and QE messed with it as well.  Basically it is the old tape readers logic that 3 days in one direction is not sustainable.  With equity prices it is not a bad swing run timing thing, but it works very well for volatility, QE be damned.

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Shut the door, VIX is up two days in a row

It happened! The streak of sub-10 closes is going to end for VIX today and I am not sure why.  Yeah we had some weekend effect and the morning rally in tech went kaput, but actual SPX move was pretty light.  I think this is the one time in IV where VIX rallied because traders were looking at the upside instead of the downside.  Sub-10 VIX is still pushing on a rope with vol expectation to go lower.

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VIX does it again!

 So you say, "what does VIX do again"?  It stayed below 9 for the 6th day in a row.  Mark did a hit on Mad Money describing this.  Realized vol is in the toilet so VIX should be low.  If VIX was rising solidly on  a rising SPX, usually that is a good time close the short vol positions.  We did have a slight up day in VIX today, .12, but I don’t think that is enough to reverse the trend.  ATM IV in the SPX is 6.68% so it is hard for VIX to get much lower.

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