VolatilityAnalytics.com

  • About the Volatility Analytics Newsletter
  • Contact
  • VIX 101

VIX Plummets – Drags September Future Down To July Levels

Posted by Scott Murray on August 13, 2014
Posted in: Uncategorized. Tagged: uvxy, VIX, Volatility, volatility trading, VXX.

In four trading days, the sentiment has gone from “the correction is finally here, the world is totally unstable”, to “the Fed can’t raise rates because the consumer is in trouble”. Is one of those supposed to be good news? Here is the truth: Retail sales rose 3.7% over last July. (month on month results are great headlines but miss the point) The economy is doing fine and nothing has changed. Meanwhile, historical patterns and typical 3rd week OPEX cycle volatility occurred, almost as if it was by script.

The VIX September future dropped by 6% to levels seen before the sell-off:

sepvx813

 

As the VIX fell to 13:

vix812

The VIX futures curve steepened, and contango magically reappeared:

2014-08-13 18_49_04-VIX Term Structure

The SPY has retraced 50% of the drop, making Fibonacci fans excited:

2014-08-13 18_51_05-SPY - SharpCharts Workbench - StockCharts.com

So for the bulls, it appears to be all systems go for now. Our short positions on long vol have evaporated in a couple of days, and it is time to start looking at the other side of the coin. I started nibbling at selling premium on short volatility today, knowing that these bull moves can play out for a while. If nothing more, I’m establishing some hedges.

The middle of August into OPEX and just beyond historically sets up bullish, so lets see if this year continues to play by the book.

This week’s newsletter was published last night and the link to subscribe is above.

 

 

Posts navigation

← VIX Falls 10% – Futures Curve Steepens
VIX Expiration Has Been Very Kind to SPX Longs →
  • 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.