VolatilityAnalytics.com

  • About the Volatility Analytics Newsletter
  • Contact
  • VIX 101

VIX Falls 10% – Futures Curve Steepens

Posted by Scott Murray on August 11, 2014
Posted in: Uncategorized. Tagged: VIX, VXX.

There was no news of significance today, and European markets led the U.S. into a higher open. That open was almost precisely where we closed, and since the S&P 500 was up around 12 pts at the high, a 6 point advance from open to close formed a shooting star candle. A lot of traders love to call this a bearish reversal or ugly candle, but the data does not support that. Bulkowski’s data demonstrates that it is merely a random probability what follows a shooting star:

http://www.thepatternsite.com/ShootingStar.html

The VIX took the lack of bad news pretty hard as it fell to around 14. Today had the feel of a typical summer session, with low volume and low volatility the characteristics of the day. The VIX term structure steepened and contango widened in the front months of the VIX futures curve:

vixterm811

Meanwhile, this was the trip for the September future. This is the only thing that matters now for VXX and UVXY holders, as it dominates their holdings:

vxsep811

This kind of action in the primary long holding in UVXY did some damage to the UVXY short $100 calls, which of course worked well for subscribers:

uvxy100811

The VIX reached July 30th levels:

vix811

Our next letter for subscribers will be published tomorrow night. I anticipate a few new trades this week, and we are on quite a roll lately….

Click the link above to subscribe to the newsletter for $25/month.

Posts navigation

← VIX Futures Make New Highs While Spot VIX Falls Short
VIX Plummets – Drags September Future Down To July Levels →
  • 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.