10 replies to this topic

[Rogerdodger]

Home Prices Post First Annual Decline Since '12...

Stock Market Isn't as Calm as Seems...

WSJ

 

The Cboe Volatility Index, or the VIX, has fallen to around 14, near the lowest levels since February 2020. Known as Wall Street’s fear gauge, the index tracks the price of options often used to hedge against stock-market downturns.
More call options tied to the VIX have changed hands on an average day in June than in any other month on record, according to Cboe Global Markets data.

Traders are scooping up bets on volatility surging at a record clip.

Edited by Rogerdodger, 27 June 2023 - 09:55 AM.

[4caster]

What do you think this means for the mkt over the near term?

[OEXCHAOS]

Home Prices Post First Annual Decline Since '12...

Stock Market Isn't as Calm as Seems...

WSJ

 

The Cboe Volatility Index, or the VIX, has fallen to around 14, near the lowest levels since February 2020. Known as Wall Street’s fear gauge, the index tracks the price of options often used to hedge against stock-market downturns.
More call options tied to the VIX have changed hands on an average day in June than in any other month on record, according to Cboe Global Markets data.

Traders are scooping up bets on volatility surging at a record clip.

FWIW, I track the VIX Put/Call. On the fly here, I just ran a 20 day MA on the entire history that I've got. That's not exactly what they are looking at, but it should give us a feel to the history.

I'm not seeing anything abnormal currently. The VIX P/C has been much lower over many durations, and much higher.

Here's the year to date. Do you see anything alarming here?


Date               VIX P/C Open       Hi              Lo            Close          20-Day MA

1/3/2023	0.51	3,853.29	3,878.46	3,794.33	3,824.14	0.5455
1/4/2023	0.63	3,840.36	3,873.16	3,815.77	3,852.97	0.561
1/5/2023	0.51	3,839.74	3,839.74	3,802.42	3,808.10	0.5615
1/6/2023	0.34	3,823.37	3,906.19	3,809.56	3,895.08	0.5695
1/9/2023	0.42	3,910.82	3,950.57	3,890.42	3,892.09	0.5565
1/10/2023	0.61	3,888.57	3,919.83	3,877.29	3,919.25	0.5515
1/11/2023	0.31	3,932.35	3,970.07	3,928.54	3,969.61	0.531
1/12/2023	0.71	3,977.57	3,997.76	3,937.56	3,983.17	0.54
1/13/2023	0.42	3,960.60	4,003.95	3,947.67	3,999.09	0.5155
1/17/2023	0.74	3,999.28	4,015.39	3,984.57	3,990.97	0.516
1/18/2023	0.27	4,002.25	4,014.16	3,926.59	3,928.86	0.4925
1/19/2023	0.3	3,911.84	3,922.94	3,885.54	3,898.85	0.4655
1/20/2023	0.48	3,909.04	3,972.96	3,897.86	3,972.61	0.4655
1/23/2023	0.7	3,978.14	4,039.31	3,971.64	4,019.81	0.4895
1/24/2023	0.79	4,001.74	4,023.92	3,989.79	4,016.95	0.5045
1/25/2023	0.52	3,982.71	4,019.55	3,949.06	4,016.22	0.497
1/26/2023	0.36	4,036.08	4,061.57	4,013.29	4,060.43	0.502
1/27/2023	0.55	4,053.72	4,094.21	4,048.70	4,070.56	0.5025
1/30/2023	0.38	4,049.27	4,063.85	4,015.55	4,017.77	0.4995
1/31/2023	0.29	4,020.85	4,077.16	4,020.44	4,076.60	0.492
2/1/2023	0.35	4,070.07	4,148.95	4,037.20	4,119.21	0.484
2/2/2023	0.29	4,158.68	4,195.44	4,141.88	4,179.76	0.467
2/3/2023	0.44	4,136.69	4,182.36	4,123.36	4,136.48	0.4635
2/6/2023	0.25	4,119.57	4,124.63	4,093.38	4,111.08	0.459
2/7/2023	0.65	4,105.35	4,176.54	4,088.39	4,164.00	0.4705
2/8/2023	0.53	4,153.47	4,156.85	4,111.67	4,117.86	0.4665
2/9/2023	0.28	4,144.25	4,156.23	4,069.67	4,081.50	0.465
2/10/2023	0.57	4,068.92	4,094.36	4,060.79	4,090.46	0.458
2/13/2023	0.6	4,096.62	4,138.90	4,092.67	4,137.29	0.467
2/14/2023	0.44	4,126.70	4,159.77	4,095.01	4,136.13	0.452
2/15/2023	0.35	4,119.50	4,148.11	4,103.98	4,147.60	0.456
2/16/2023	0.18	4,114.75	4,136.54	4,089.49	4,090.41	0.45
2/17/2023	0.57	4,077.39	4,081.51	4,047.95	4,079.09	0.4545
2/21/2023	0.53	4,052.35	4,052.35	3,995.19	3,997.34	0.446
2/22/2023	0.77	4,001.83	4,017.37	3,976.90	3,991.05	0.445
2/23/2023	0.34	4,018.60	4,028.30	3,969.19	4,012.32	0.436
2/24/2023	0.35	3,973.24	3,978.25	3,943.08	3,970.04	0.4355
2/27/2023	0.65	3,992.36	4,018.05	3,973.55	3,982.24	0.4405
2/28/2023	0.44	3,977.19	3,997.50	3,968.98	3,970.15	0.4435
3/1/2023	0.46	3,938.68	3,938.68	3,928.16	3,931.69	0.452
3/2/2023	0.63	3,938.68	3,990.84	3,928.16	3,981.35	0.466
3/3/2023	0.25	3,998.02	4,048.29	3,995.17	4,045.64	0.464
3/6/2023	0.43	4,055.15	4,078.49	4,044.61	4,048.42	0.4635
3/7/2023	0.12	4,048.26	4,050.00	3,980.31	3,986.37	0.457
3/8/2023	0.36	3,987.55	4,000.41	3,969.76	3,992.01	0.4425
3/9/2023	0.28	3,998.66	4,017.81	3,908.70	3,918.32	0.43
3/10/2023	0.42	3,912.77	3,934.05	3,846.32	3,861.59	0.437
3/13/2023	0.43	3,835.12	3,905.05	3,808.86	3,855.76	0.43
3/14/2023	0.56	3,894.01	3,937.29	3,873.63	3,920.56	0.428
3/15/2023	0.45	3,876.74	3,894.26	3,838.24	3,891.93	0.4285
3/16/2023	0.73	3,878.93	3,964.46	3,864.11	3,960.28	0.4475
3/17/2023	0.55	3,958.69	3,958.91	3,901.27	3,916.64	0.466
3/20/2023	0.33	3,917.47	3,956.62	3,916.89	3,951.57	0.454
3/21/2023	0.89	3,975.89	4,009.08	3,971.19	4,002.87	0.472
3/22/2023	0.29	4,002.04	4,039.49	3,936.17	3,936.97	0.448
3/23/2023	0.39	3,959.21	4,007.66	3,919.05	3,948.72	0.4505
3/24/2023	0.5	3,939.21	3,972.74	3,909.16	3,970.99	0.458
3/27/2023	0.41	3,982.93	4,003.83	3,970.49	3,977.53	0.446
3/28/2023	0.74	3,974.13	3,979.20	3,951.53	3,971.27	0.461
3/29/2023	0.4	3,999.53	4,030.59	3,999.53	4,027.81	0.458
3/30/2023	0.27	4,046.74	4,057.85	4,032.10	4,050.83	0.44
3/31/2023	0.49	4,056.18	4,110.75	4,056.18	4,109.31	0.452
4/3/2023	0.38	4,102.20	4,127.66	4,098.79	4,124.51	0.4495
4/4/2023	0.25	4,128.03	4,133.13	4,086.87	4,100.60	0.456
4/5/2023	0.27	4,094.50	4,099.69	4,072.56	4,090.38	0.4515
4/6/2023	0.27	4,081.15	4,107.32	4,069.84	4,105.02	0.451
4/10/2023	0.42	4,085.20	4,109.50	4,072.55	4,109.11	0.451
4/11/2023	0.86	4,110.29	4,124.26	4,102.61	4,108.94	0.4725
4/12/2023	0.35	4,121.72	4,134.37	4,086.94	4,091.95	0.462
4/13/2023	0.4	4,100.04	4,150.26	4,099.40	4,146.22	0.4595
4/14/2023	0.41	4,140.11	4,163.19	4,113.20	4,137.64	0.4435
4/17/2023	0.79	4,137.17	4,151.72	4,123.18	4,151.32	0.4555
4/18/2023	0.43	4,164.26	4,169.48	4,140.36	4,154.87	0.4605
4/19/2023	0.42	4,139.33	4,162.57	4,134.49	4,154.52	0.437
4/20/2023	0.37	4,130.48	4,148.57	4,114.57	4,129.79	0.441
4/21/2023	0.26	4,132.14	4,138.02	4,113.86	4,133.52	0.4345
4/24/2023	0.43	4,132.07	4,142.41	4,117.77	4,137.04	0.431
4/25/2023	0.38	4,126.43	4,126.43	4,071.38	4,071.63	0.4295
4/26/2023	0.3	4,087.78	4,089.67	4,049.35	4,055.99	0.4075
4/27/2023	0.59	4,075.29	4,138.24	4,075.29	4,135.35	0.417
4/28/2023	0.37	4,129.63	4,170.06	4,127.18	4,169.48	0.422
5/1/2023	0.55	4,166.79	4,186.92	4,164.12	4,167.87	0.425
5/2/2023	0.43	4,164.10	4,164.10	4,089.72	4,119.58	0.4275
5/3/2023	1.12	4,122.25	4,148.30	4,088.86	4,090.75	0.471
5/4/2023	0.22	4,082.55	4,082.61	4,048.28	4,061.22	0.4685
5/5/2023	0.57	4,084.73	4,147.02	4,084.73	4,136.25	0.4835
5/8/2023	0.52	4,136.98	4,140.93	4,129.59	4,131.10	0.4885
5/9/2023	0.44	4,124.25	4,130.35	4,116.65	4,119.17	0.4675
5/10/2023	0.48	4,143.74	4,154.28	4,098.92	4,137.64	0.474
5/11/2023	0.35	4,132.24	4,132.80	4,109.29	4,130.62	0.4715
5/12/2023	0.49	4,138.54	4,143.74	4,099.12	4,124.08	0.4755
5/15/2023	0.68	4,126.65	4,141.25	4,110.27	4,136.28	0.47
5/16/2023	0.4	4,127.95	4,135.54	4,109.86	4,109.90	0.4685
5/17/2023	0.62	4,122.85	4,164.67	4,113.62	4,158.77	0.4785
5/18/2023	0.23	4,157.68	4,202.20	4,153.50	4,198.05	0.4715
5/19/2023	0.47	4,204.15	4,212.91	4,180.20	4,191.98	0.482
5/22/2023	0.17	4,190.78	4,209.22	4,179.68	4,192.63	0.469
5/23/2023	0.36	4,176.80	4,185.68	4,142.54	4,145.58	0.468
5/24/2023	0.87	4,132.96	4,132.96	4,103.98	4,115.24	0.4965
5/25/2023	1.21	4,155.71	4,165.74	4,129.73	4,151.28	0.5275
5/26/2023	0.36	4,156.16	4,212.87	4,156.16	4,205.45	0.527
5/30/2023	0.36	4,226.71	4,231.10	4,192.18	4,205.52	0.5175
5/31/2023	0.32	4,190.74	4,195.44	4,166.15	4,179.83	0.512
6/1/2023	0.43	4,183.03	4,232.43	4,171.64	4,221.02	0.4775
6/2/2023	0.29	4,241.01	4,290.67	4,241.01	4,282.37	0.481
6/5/2023	0.32	4,282.99	4,299.28	4,266.82	4,273.79	0.4685
6/6/2023	0.82	4,271.34	4,288.33	4,263.09	4,283.85	0.4835
6/7/2023	0.71	4,285.47	4,299.19	4,263.96	4,267.52	0.497
6/8/2023	0.44	4,268.69	4,298.01	4,261.07	4,293.93	0.495
6/9/2023	0.64	4,304.88	4,322.62	4,291.70	4,298.86	0.5095
6/12/2023	0.42	4,308.32	4,340.13	4,304.37	4,338.93	0.506
6/13/2023	0.4	4,352.61	4,375.37	4,349.31	4,369.01	0.492
6/14/2023	0.24	4,366.29	4,391.82	4,337.85	4,372.59	0.484
6/15/2023	0.29	4,365.33	4,439.20	4,362.60	4,425.84	0.4675
6/16/2023	0.68	4,440.95	4,448.47	4,407.44	4,409.59	0.49
6/20/2023	0.47	4,396.11	4,400.15	4,367.19	4,388.71	0.49
6/21/2023	0.35	4,380.01	4,386.22	4,360.14	4,365.60	0.499
6/22/2023	0.29	4,355.40	4,382.25	4,351.82	4,381.89	0.4955
6/23/2023	0.19	4,354.17	4,366.55	4,341.34	4,348.33	0.4615
6/26/2023	0.32	4,344.84	4,362.06	4,328.08	4,328.82	0.417

[4caster]

Really interesting stuff, Mark. Thanks for putting it on here.

[OEXCHAOS]

I should probably build a long-term chart and post that.

 

M

[4caster]

I think that would be a great idea. I'd really like to see your data plotted with the SPX.

On June 1st there were several indicators that gave a bottom signal, but your figure

for June 1st is .43. I would think it would have been higher than that. Go figure. I'd

really be interested to see what the coefficient of correlation is between your data

and the SPX.

[4caster]

Also, on June 16th several indicators gave a top signal. Your figure for June 16th is .68.

That makes more sense than the .43 reading on June 1st., unless I'm reading this incorrectly.

[OEXCHAOS]

I'll see what I can do, depending upon what new emergency arises. Honestly, it's a good exercise.

 

M

[pdx5]

Did this VIX guru gave a loud warning in March 2020 when SPX dropped 30% in 3 months?

[4caster]

Mark, I have a question for you. I've been doing more research with your data. On June 16th

several indicators gave a top signal and your figure on that date was .43. On June 25th there

were several indicators that gave a bottom signal and your figure for June 26th is .32. Does

this mean that your data have a positive correlation with the mkt although the VIX has an

inverse correlation with the mkt?. What am I missing here?