VolatilityAnalytics.com

  • About the Volatility Analytics Newsletter
  • Contact
  • VIX 101

VIX Futures Make a Round Trip – Short Options Weaken

Posted by Scott Murray on August 6, 2014
Posted in: Uncategorized. Tagged: VIX, VXX.

This was the day in the August future:

vx86

After the Polish minister news was blamed for the 15 handle S&P dip in 30 minutes yesterday, the DAX opened sharply lower boosting the VIX futures at around 3am. When the SPX bounced early, the VIX fell but as it was yesterday afternoon, selling reemerged to bring the VIX futures to unchanged.

Yet our short UVXY $100 Jan calls fell anyway:

uvxy100

The ECB meets tomorrow under the specter of correcting markets in Europe. Take a look at the DAX, it is now in a 10% correction:

ewg86

Mario, not unlike Helicopter Ben, is usually good for markets. Already having instituted a negative rate window, now asset purchases are on the table. Should be an interesting day tomorrow.

A couple more interesting charts: the Rut2k is finding a base and is now outperforming the S&P over the last few days, and the IYT Dow Transports are still beelining for the 100 day MA. Incidentally the DOW is only 100 or so points from the 200 day moving average.

Iwm86 iyt86

 

Posts navigation

← Economy Strengthens, Earnings Look Great and the VIX Surges – Why?
VIX Futures Make New Highs While Spot VIX Falls Short →
  • 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.