VolatilityAnalytics.com

  • About the Volatility Analytics Newsletter
  • Contact
  • VIX 101

Volatility Will Return – It Always Does

Posted by Scott Murray on August 5, 2013
Posted in: Uncategorized. Tagged: derivatives, Options, scott murray, VIX, Volatility, VXX.

We are getting to the point where the VIX and the futures can’t fall much more. Yet when they get this low, “much more” becomes a large percentage of the underlying. For example, while the VIX is 11.84, that one more point down represents an 8.5% fall in the front month. Conversely, would the VIX to jump to a normal 16, that would be a 35% leap. It’s a numbers game.

Add that to a 7 cent/day or so roll in the VXX, and the carnage can continue; or the jubilee for long XIV or short VXX/UVXY folks. You almost look at VXX puts and eye the total roll for the next two weeks to envision where the VXX will sit, since the market Pokies does not allow for down days of any significance.

Symbol Contract Month Time Last Change Open High Low
VX Q3-CF S&P 500 VOLATILITY August2013 16:46:18 13.05 -0.10 13.10 13.25 12.95
VX U3-CF S&P 500 VOLATILITY September2013 16:46:18 14.45 -0.20 14.63 14.65 14.35
VX V3-CF S&P 500 VOLATILITY October2013 16:46:18 15.50 -0.25 15.67 15.67  

The key here is watching September; when that bleeding stops, it is time to get long VXX in some low risk way, calendars, etc. People will fear the post-labor day, or approaching FED meeting market. But a lot of boredom, negative roll, vacation is between now and then.

Short post, since there isn’t anything to discuss when the sigma of the S&P was a couple points.

 

 

 

Posts navigation

← VIX, Futures Fall Ahead of Jobs Report – Volatility Gone for the Summer?
VIX Rejects 14 – Markets Remain Fear-Free as They Fall – New VIX Trade →
  • 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.