Following futures positions of non-commercials are as of March 14, 2017. 10-year note: Currently net short 194.4k, down 104.1k. Equities up. Gold up. The US dollar index down. Ten-year Treasury yields down. This is how markets reacted to Wednesday’s FOMC … Continued
In its rather brief history going back to January 1990, out of 6,725 sessions, there have only been 10 times when spot VIX jumped 40 percent or higher in a single session. That is how rare it is! Last Friday … Continued
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
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
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
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
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
The last data point in Chart 1 is as of yesterday and uses intra-day highs rather than the close. The VIX-to-VXV ratio is calculated by using 22.89 for VIX and 23.53 for VXV. They respectively closed the session at 19.37 … Continued
U.S. stocks had a very good week last week. The S&P 500 large cap index rallied 2.3 percent, Dow Industrials 2.1 percent, both Nasdaq 100 index and Russell 2000 small cap index 3.4 percent, among others. The rally comes in … Continued
U.S. equities had a powerful session on Tuesday, followed by another good session on Wednesday. Volume could have been a little better on major U.S. indices but price spoke loud and clear. The Nasdaq 100 surged 2.1 percent on Tuesday, … Continued