Huge drop in VIX at the close

R

reno4nook

The VIX made a huge .40 point drop in the last 5 minutes of trading today...

Any ideas why?

Is someone bullish on tomorrow's employment report?
 
More than likely "they" wanted to short gamma/vega more than simply making a direct play on the report. $.40 is quite a move with vols this low, but not rare. Remember that the VIX is updated when trades are made, and a lot of these strikes aren't terribly active. Most of the action is in atm strips out to 30 deltas.

There is a lot of early-bird weekend markdown of vols due to the weekend decay. The street has to mark down vols since they can't compress time. :p
 
Quote from reno4nook:

Is someone bullish on tomorrow's employment report?
More...
Of course! Everyone knows that Friday is Dream Day. Or can you remember any report which was bad in the last 5 years?
 
Did the big VIX drop at yesterday's close forecast a nice market rally?

Well it sure looks like it. :p

Has anybody ever seen this scenario before?
 
There is no clairvoyance here. It's simply a play into the post-release vol drop. Do you think it's coincidental that we saw a drop in VIX before a pre-open econ release coupled with the weekend?
 
Quote from studyandtrade:

Of course! Everyone knows that Friday is Dream Day. Or can you remember any report which was bad in the last 5 years?
More...


exactly correct..

no fear anymore about going long into a weekend!!


Friday=buyday for free money$$$
 
If anyone's interested, the VIX rose .24 in the last 5 minutes of trading today.

The last big late move (as noted above) in the VIX was followed by an 11 point gain in the S&P the next day.

Don't know if today's jump up was big enough to forecast a 10pt drop in the S&P for tomorrow, but it was interesting.

S&P Futures already fell over 4 points in after hours trading.

cheers,
 
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