Normally I don’t put much stock in 200 day MA but for the first day in a while things seemed to have to settled down. VIX cash darn near broke through 16% before any earnings of consequence came out. ATM volatility is down to below 13% in the Oct serial cycle. Last week it was 18%. The term structure for the VIX futures is back into a normal contango and the volatility productslost their daily gain status.
Look for our webinar on fixing broken positions real soon. Looking Nov 7th.
I seem to remember this time last Wednesday when the SPX was trading just below 1900. Chinese markets were closed for a holiday week and the weak jobs number on Friday created the whipsaw we had for the last week and a 100 point rally in the SPX. Like we saw twice already since the late August debacle, the rallies were as vicious as the selloffs.
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.
Generally speaking, when the VIX is high, its a sale and when its low, its also a sale. However, there is one time where the expected pay out of selling VIX futures or options is not that great, when the VIX curve starts to do this:
I won’t call today a turnaround day but it was noteworthy for the selloff that wasn’t. The 2 min ceasefire in the Gaza strip did not help. The sideways motion in the Ukraine did not help. The ok jobs report did get stocks back to even at one point but there is still some sadness in the air.
That sadness has helped propel volatility to 3 month highs in many areas. The VXEEM is making a near term high this week even when there has not been a whole lot of movement in the EEM with the 20 day realized volatility just hitting the high 13s.
I love the low volume rallies. One thing about market players is that they start to know the game. Good employment news is out, and the market took off this morning. At this point, traders who need to sell stock just wait as the news driven algo guys bid up the market in an attempt to chase the news. One thing we have been watching is the slow decline of volatility this last couple of days. The market has been almost all news driven out of Europe since mid – July (and mo