Ray Of Hope – At Least Near Term – For Bruised Volatility Bulls

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The lack of volatility in volatility is once again giving rise to the phrase ‘it is different this time”.  If past is any guide, it seldom is. Spot VIX just created a record. VIX goes back to January 1990.  In … Continued

CoT: Peek Into Future Through Futures – How Hedge Funds Are Positioned

Following futures positions of non-commercials are as of June 27, 2017. 10-year note: Currently net long 302.1k, down 43.1k. Rising asset prices were once again a talk of the Fed town. On Tuesday, Janet Yellen, Fed chair, Stanley Fischer, vice-chair, … Continued

Short-Term Volatility Way Too Compressed To Cause Major Breakout On S&P 500

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Dips continue to get bought, even as volatility struggles to hold on to gains. On the S&P 500 large cap index, bulls forced a break out of 2400 five weeks ago.  Just a few days afterwards, the breakout was defended … Continued

Amid Mixed Volatility Messages, Volatility Curve Is One To Listen To Near Term

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Monday marked a history of sorts. All four major equity indices – the S&P 500 large cap index, Dow Industrials, Nasdaq composite and the Russell 2000 small cap index – broke out to fresh new highs.  The last time this … Continued

Large Specs’ Massive Net Shorts In VIX Futures Contrarian Signal

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Back in 2013, by August 20th, non-commercials had built 116,317 contracts in net shorts in VIX futures.  In the next 10 weeks (by October 29th), net shorts dropped to 39,673 (Chart 1).  Intra-day, spot VIX jumped from 11.83 on August … Continued

Open Interest In VIX Options Call-Heavy in August, September

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In the August expiration, the amount of call open interest in VIX heavily outweighs that of puts.  Put open interest, represented by the red bars in Chart 1, is decent in near-the-money or slightly-in-the-money strikes, but pale in comparison to … Continued

CoT: Peek Into Future Through Futures

The following are futures positions of non-commercials as of July 19, 2016.  Change is week-over-week. 10-year note: If you repeat something often enough, it becomes the truth.  So the saying goes. Why bring this up?  There is a sudden uptick … Continued

Spot VIX Sub-13 For 3 Straight Sessions, Volatility Curve In Steep Contango

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The last time spot VIX closed under 13 for three consecutive sessions was in early August last year.  In fact, VIX back then stayed sub-13 for four straight sessions ended August 3rd, and registered three more sub-13 readings by August … Continued

US Dollar Index’s Sharp Two-Day Rally Driven By Fear, Not Fundamentals

From last week’s Thursday close through this Monday, the US dollar index jumped 3.4 percent.  This was the sharpest two-session increase since it rallied 3.6 percent on September 29, 1992.  That is how far back one has to go in … Continued

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