VIX not going down any more

When do you guys think the downgrades will come and Europe start spooking the markets again pushing the VIX back to 35 etc..

Feb maybe once the holidays are out of the picture? Usually you get these little periods of calm, everyone makes their money and then the scaremongering opens back up.
 
Quote from Maverick74:

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!!!!!
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first of all there is nothing to gleam or game from the recent futures moves. this is all i have traded for years.

for those concerned why the front futures went up recently..you can indeed call it seasonality.

last year at 16's spot on these dates the front futures did exactly the same thing as this year..but you really cannot model it and win with edge just based on history..one never knows exactly the day the demand or lack of demand will come...as in any type of trading you need very good directional skills.
 
Quote from atticus:

This is so obvious I am wondering if you guys have futures quotes on VIX. Vol as synthetic time as like three guys are going to buying "physical" vol (not var futures) in SPX into the holiday and a defined uptrend. It's absent a bid.

>300bp on cash in two days reflects the entire vol-trading community crowding into the holiday trade.

I will bet any amount that cash VIX rallies on Tuesday. My guess would be at least 70bp.
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Up 2 for the week and >1 on Tuesday alone.
 
Quote from atticus:

Up 2 for the week and >1 on Tuesday alone.
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you're ahead of a 3 day weekend, and geopolitical news that no one can forecast moved it. that was an easy call especially when spot always has a tendency to rise on the first trading day of the week.

in any case no one would have guessed spot vix would be at 22.91 mid day dec 30, 2011
 
Quote from sellindexvol66:



in any case no one would have guessed spot vix would be at 22.91 mid day dec 30, 2011
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I thought that's exactly what I did? The forecast was not the point, but it suits my argument. I don't recall your forecast, did you make one? Perhaps I missed it.
 
Quote from sellindexvol66:

you're funny..

i don't have to play forecast and rework wording...you know that. have fun..i'll be making "real" money...lol
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That will be a nice change! Now, wtf is my money?
 
Question for you VIX futures traders out there:

Right now (1pm ET on 1/13) I see spot VIX at 21.78 and January VIX futures (exp 1/17) at 23.45. That seems like a big gap considering that it's really just more than 2 trading days until expiry and I'm wondering if I may have missed something about the way VIX futures are settled.

Does this mean that the futures market is anticipating spot vix to rise by 140 bps in the next 2 days? Could very possibly happen (it's risen 130 bps since yesterday's close) but that's a pretty big required move just to break even on a January VIX future (VXF2)

Put another way, will the front month contract converge with the spot index between now and expiry or is there some offset? Is there a tendency for the future to converge to spot, or for spot to converge to future?

I'm sure there are plenty of valid justifications for bad things that could happen in the next 2 days to rattle the markets, but that's not my concern. I'm not making a discretionary call on the markets in the next two days, just on the mechanics of settlement for this futures contract
 
Quote from sf631:

Question for you VIX futures traders out there:

Right now (1pm ET on 1/13) I see spot VIX at 21.78 and January VIX futures (exp 1/17) at 23.45. That seems like a big gap considering that it's really just more than 2 trading days until expiry and I'm wondering if I may have missed something about the way VIX futures are settled.

Does this mean that the futures market is anticipating spot vix to rise by 140 bps in the next 2 days? Could very possibly happen (it's risen 130 bps since yesterday's close) but that's a pretty big required move just to break even on a January VIX future (VXF2)

Put another way, will the front month contract converge with the spot index between now and expiry or is there some offset? Is there a tendency for the future to converge to spot, or for spot to converge to future?

I'm sure there are plenty of valid justifications for bad things that could happen in the next 2 days to rattle the markets, but that's not my concern. I'm not making a discretionary call on the markets in the next two days, just on the mechanics of settlement for this futures contract
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No, it means there is a settlement procedure which basically acts as a gap in price just like SPX settlement. I think month the VIX "settled" 2 or 3 full handles lower then where the futures went out on Tuesday night's close. It's just a print. Don't read too much into that.
 
Quote from sf631:

Question for you VIX futures traders out there:

Right now (1pm ET on 1/13) I see spot VIX at 21.78 and January VIX futures (exp 1/17) at 23.45. That seems like a big gap considering that it's really just more than 2 trading days until expiry and I'm wondering if I may have missed something about the way VIX futures are settled.

Does this mean that the futures market is anticipating spot vix to rise by 140 bps in the next 2 days? Could very possibly happen (it's risen 130 bps since yesterday's close) but that's a pretty big required move just to break even on a January VIX future (VXF2)

Put another way, will the front month contract converge with the spot index between now and expiry or is there some offset? Is there a tendency for the future to converge to spot, or for spot to converge to future?

I'm sure there are plenty of valid justifications for bad things that could happen in the next 2 days to rattle the markets, but that's not my concern. I'm not making a discretionary call on the markets in the next two days, just on the mechanics of settlement for this futures contract
More...


good questions. short answer is the futures will converge to spot; but it is tough to figure if they will converge to spot when you decide to trade them. in this case at 1.73 premium to spot in my opinion it is just noise and to earn on convergence you must be correct on market direction. please note, they will trade for 1 hour on the 18th..this is a new change.
 
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