VolatilityAnalytics.com

  • About the Volatility Analytics Newsletter
  • Contact
  • VIX 101

While Vol Remains Low, Warning Signs are Obvious

Posted by Scott Murray on April 2, 2013
Posted in: Uncategorized. Tagged: futures, VIX, Volatility, VXX.

Where would the market have been today without the health care and consumer staples sectors? There are some fascinating divergences in the market, and it is not painting the healthiest of portraits.

The S&P and Dow were up, but:

tran4213

 

rut4213

These two charts alone should give you pause, as this was not evident by catching a market update. Are the internals rolling while health care (up 1.48%) and staples defend the averages? The VIX is certainly not demonstrating any concern, neither are the futures:

Symbol Contract Month Time Last Change Open High Low
VX J3-CF S&P 500 VOLATILITY April2013 16:49:31 13.80 -0.60 14.20 14.25 13.75
VX K3-CF S&P 500 VOLATILITY May2013 16:49:31 15.25 -0.53 15.55 15.60 15.15
VX M3-CF S&P 500 VOLATILITY June2013 16:49:30 16.35 -0.36 16.50 16.60 16.18

And this has not been a canary in the coal mine yet, but throwing it out there:

guidance

The beat rate has been solid every quarter when the bears have used this data point, or commented on abnormally high margins/GDP. Yet it is worth noting.

IWM June puts are very cheap, and we added a few 95’s today. Not saying the rally is over, but May is almost here and it pays to be prepared while everyone assumes the year will never see a correction.

We are hearing a lot of that these days. That IF we see a correction, IT WILL ONLY be a 3-5% drawdown. Who are these people kidding beside themselves? That feels like toppy complacency to me.

Posts navigation

← Volatility Passes Over the Week; Selling Vol is Getting Risky
Futures Yawn as VIX Awakens →
  • Subscribe to the VA Newsletter – $30/mo

  • Follow us on Twitter

    Follow @VolatilityWiz
  • RSS Volatility Analytics RSS Feed

    • Volatility Analytics Newsletter Samples
  • Recent Posts

    • Volatility Analytics Newsletter Samples
    • Summer Volatility – Will it Vanish?
    • Creative Volatility Trading (Part 1) – Calendar Ratio Spreads
    • Trading Volatility in a Low Vol Market
    • How Much Short-Term Downside is Left in VXX and UVXY?
  • Archives

    • May 2021
    • May 2018
    • May 2017
    • April 2017
    • November 2015
    • August 2014
    • May 2014
    • March 2014
    • November 2013
    • October 2013
    • September 2013
    • August 2013
    • July 2013
    • June 2013
    • May 2013
    • April 2013
    • March 2013
    • February 2013
    • January 2013
    • December 2012
    • November 2012
  • RSS VIX and More Blog

    • The Latest on VXX and Additional Creation Unit Suspensions by Barclays
    • SPX Weekly Options Will Soon Be Available with Expirations Every Day of the Week
    • UVXY Dominates VIX ETPs By Dollar-Weighted Volume
  • Categories

    • Uncategorized
Proudly powered by WordPress Theme: Parament by Automattic.