VIX not going down any more

Quote from newwurldmn:

Normalcy is the term structure steepening (vs being very flat or inverted in times of distress).

60 day vol is lower 5 vols. 60 day vol incorporated the holiday season on dec 7 and still does today. In the same time period we have not changed price, though we did sell off and rally 50 handles over the 2.5 week period.

Vol's come in a fair amount.

25 in the front month vix is still high in a larger historical perspective, but it's come in a lot especially within the context of where things were 2 weeks ago.
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Of course it came in. lol. Europe was on the verge of insolvency. I doubt any big news will come out of Europe over the holidays and the VIX reflects that. I'm not sure I understand what you are trying to say. At the end of the year all term structures get whacky because a lot of funds have to square up their books. I would not be "reading" this as some big tell on price action.

Hell, some guy came on CNBC last week and was calling for VIX to hit 15 in Jan. I seriously doubt that will happen but I do think the world got over weighted in long vol and that unwind could put some downward pressure on the VIX and the term structure over the short term.

I'm sure there are a boatload of people selling Jan and buying Feb on the VIX futures.
 
Quote from Maverick74:

Of course it came in. lol. Europe was on the verge of insolvency. I doubt any big news will come out of Europe over the holidays and the VIX reflects that. I'm not sure I understand what you are trying to say. At the end of the year all term structures get whacky because a lot of funds have to square up their books. I would not be "reading" this as some big tell on price action.

Hell, some guy came on CNBC last week and was calling for VIX to hit 15 in Jan. I seriously doubt that will happen but I do think the world got over weighted in long vol and that unwind could put some downward pressure on the VIX and the term structure over the short term.

I'm sure there are a boatload of people selling Jan and buying Feb on the VIX futures.
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I was responding to your comment about VIX futures not coming in that much. I'm just saying the risk premium have come in a lot.

I'm not speculating as to why.
I agree that I wouldn't be reading too much into it.
 
Quote from njrookie1:
----biggest movement of my account equity.
----on Weds I had an up day that is 5 times bigger than my previous best day.
----On TH I gave back 40% of the Weds gain, which is my biggest down day.
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Two steps forward, ~1 step back. :cool:
 
Quote from newwurldmn:

I was responding to your comment about VIX futures not coming in that much. I'm just saying the risk premium have come in a lot.

I'm not speculating as to why.
I agree that I wouldn't be reading too much into it.
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Right and I'm saying if you remove the holiday factor, I really don't think vol has come in more then any other year. I've been trading for 15 years and I have observed vol getting crushed every time going into year end. This year vol was elevated a little higher then normal because of the Europe mess that might have exaggerated the move some.

Here is another way to look at it. We have rallied 200 handles since August on the ES and yet the VIX is STILL at 25.50. That might put things in better perspective.
 
Quote from Maverick74:

Right and I'm saying if you remove the holiday factor, I really don't think vol has come in more then any other year. I've been trading for 15 years and I have observed vol getting crushed every time going into year end. This year vol was elevated a little higher then normal because of the Europe mess that might have exaggerated the move some.

Here is another way to look at it. We have rallied 200 handles since August on the ES and yet the VIX is STILL at 25.50. That might put things in better perspective.
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I'll give you even another way to look at it. One year ago today the spot VIX was at 15. The SPY one year ago today was pretty much exactly where it is now. So the ES has gone no where yet the VIX is 25% higher then it was a year ago today. Hope that helps.
 
Quote from Maverick74:

Right and I'm saying if you remove the holiday factor, I really don't think vol has come in more then any other year. I've been trading for 15 years and I have observed vol getting crushed every time going into year end. This year vol was elevated a little higher then normal because of the Europe mess that might have exaggerated the move some.

Here is another way to look at it. We have rallied 200 handles since August on the ES and yet the VIX is STILL at 25.50. That might put things in better perspective.
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Okay. The holiday factor being the supply demand dynamics in the vol market; not the expectation of lower vol due to the holidays.

You are right, but your 3month comparison shows a different story than my 2 week. My two week is showing a change in Vol regime. Whether it's temporary (just a year end thing) or not is another story.
 

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Maverick,

While I certainly respect your experience and knowledge in this industry, I have to disagree.

When you sell VIX future and then cover at a lower level to make 50K, you make 50K. Yes once you take out holiday, per day variance did not really go down. But VIX future calculation assumes the full calender time, not trading time, up to the minutes. Anticipating the VIX seasonality in this case and profiting from it is where the edge lies.

It is bad that is over now :)

My OP was really a question about the swift change in the LAST TWO DAYs. Why all out sudden seaonality does not matter any more two days before Christmas?

What cause that?

njrookie
 
Quote from njrookie1:

Maverick,

While I certainly respect your experience and knowledge in this industry, I have to disagree.

When you sell VIX future and then cover at a lower level to make 50K, you make 50K. Yes once you take out holiday, per day variance did not really go down. But VIX future calculation assumes the full calender time, not trading time, up to the minutes. Anticipating the VIX seasonality in this case and profiting from it is where the edge lies.

It is bad that is over now :)

My OP was really a question about the swift change in the LAST TWO DAYs. Why all out sudden seaonality does not matter any more two days before Christmas?

What cause that?

njrookie
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Nonsense. There is no edge there. You took a directional trade period. If the ES would have gotten clobbered and that 1200 level didn't hold, we could have gone to 40 plus on the VIX. Instead we rallied 65 handles. I was long risk reversals in the ES because I WAS making a directional call on the ES. Same trade. Don't act like it was anything more then that.
 
Quote from njrookie1:



My OP was really a question about the swift change in the LAST TWO DAYs. Why all out sudden seaonality does not matter any more two days before Christmas?

What cause that?

njrookie
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Seasonality DOES matter. The VIX got discounted to reflect that. Markets adjust very fast today. The VIX does not have to drop 15 days in a row to account for the seasonality factor. It can do it in 2 days.

Case in point, AAPL vol gets bid into earnings. Earnings come out as expected. What happens to AAPL vol? It doesn't bleed out slowly over the next 3 weeks. It's bleeds out fast in like the first 5 minutes of trading!!!!!
 
Incidently I just looked into the holiday effect thing in a rudiamentary fashion.

I took the VIX change from the first day in Jan to about 10 business days before and compared it to the corresponding SPX return. I did this from 2001 to 2011 using BBG data.

6 years the vix sold off in the last two weeks; 5 years not. Of those 6 years, the spot was higher in all of them. Of the 5 years the VIX did not, the spot was higher in 3.

I didn't look to compare the magnitude of the respective moves.
 
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