Every big down day with futures falling further is followed by...

[Cache Landing]

Quote from kashirin:

VIX jumped on Monday even DOw was 10 points from its record close
There is a lot of fear in the air

VIX jumped on Monday because it was readjusting to the synthetic time decay from Friday. Under normal circumstances there will be a VIX drop on Friday and a jump on Monday. That is how they price in time decay over the weekend.

But I do agree that the steady increase in VIX over the last 4 months is indicative of cautious buying and lots of hedging on the part of the bulls.

 

[chauncey1]

Quote from noddyboy:

6/8
6/27
big down day, futures falling further, big rally next day.

Unless

2/27
gap down day, going all the way down without bouncing to previous close

But can it be so obvious?

So you're taking 3 examples to make a whole statement based on stats?.

 

[notouch]

It's not often the Dow rallies for a week then drops 1% then rallies again the next day. Expect at least some continuation selling before the dipsters come in (if they come in).

 

[Cache Landing]

Quote from noddyboy:

I bet by selling out of the money puts...so I win as long as it doesn't crash. With VIX so high already, I don't see how that can happen.

Selling OTM puts on SPX or on VIX?

If on SPX I hope that in replicating the synthetic you are maintaining the covered call notional exposure. Personally I wouldn't be so bold as to rule out a SPX crash under these conditions. If you're not watching your notional exposure it is akin to picking up dimes in front of a steam roller.

 

[Cache Landing]

Doesn't really matter what happens tomorrow, but I expect that in the absence of some great inflation data SPX will reach 1480 by AUG.

 

[MajorUrsa]

Quote from noddyboy:

I bet by selling out of the money puts...so I win as long as it doesn't crash. With VIX so high already, I don't see how that can happen.

Pardon? The VIX doesn't need to go higher for a crash to occur. VIX is an index and it shows a lot of ppl are thinking it's getting hairy.
VIX might go higher during the crash and will return to normal slowly afterwards.

Ursa..

 

[JDO_Trader]

personally think that the crucial piece of data could be the carry-trade which sprung a fat leak today - though nobody seems to be talking about it... If USD/JPY keeps sliding like this (the biggest down day since 2/27) then there could be a really nasty snap on the markets tomorrow...

 

[Ivanovich]

Quote from JDO_Trader:

personally think that the crucial piece of data could be the carry-trade which sprung a fat leak today - though nobody seems to be talking about it... If USD/JPY keeps sliding like this (the biggest down day since 2/27) then there could be a really nasty snap on the markets tomorrow...

A lot of that was due to USD weakness, though. EUR/JPY moved down, but not anywhere near that. Same with AUD/JPY and NZD/JPY.

 

[Cache Landing]

Quote from MajorUrsa:

Pardon? The VIX doesn't need to go higher for a crash to occur. VIX is an index and it shows a lot of ppl are thinking it's getting hairy.
VIX might go higher during the crash and will return to normal slowly afterwards.

Ursa..

One thing to consider with VIX is that it is greatly affected by either protective put buying or covered call selling on S&P.

Either of these strategies allows for the trader/investor to continue holding the underlying spot position which will prop up the market to some degree.

 

[JDO_Trader]

actually most of the Yen pairs initially fell hard - the CAD/YEN was down more than the USD/YEN ... but looking now they all seem to have held flat or bounced later in the day - so hopefully you're right Ivanovich and the continued Yen strength is solely with regard to the dollar... That shouldn't cause the same liquidity squeeze at all.... (hopefully )