Portfolio manager with momentum and vol strategies. Also hack guitar player who sings. Tweets/RTs are not investment advice. You need to do your own work!!
The Lowcountry
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Why should you care about HY bond breadth data?? Because deterioration might precede a serious downturn in equities.
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Might just be a blip, but it's usually not a good thing when the ratio of $VIX:$VIX3M (green) goes above ratio of $VIX3M to $VIX6M (red). It was a particularly useful tell July 2024.
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Update on cross-asset conditions. $SPX has bounced but the high yield market (using cume advance-decline) has not followed. This is a condition to 👀, not a trade signal. h/t @McClellanOsc
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One measure of VIX futures slope is VX30 (constant maturity VIX futures) to spot $VIX. We're sitting at the 96th percentile of that spread. It can hang out here for a while but it can't get much better FWIW.
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My son rents in NYC. Got notice of $650/mo increase. Had ChatGPT write a stern email. Leasing office called 5 mins later and agreed to $95/mo.
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So many things to see today. I use 3 ratios from @CBOE term structure: VIX9D:VIX, VIX:VIX3M & VIX3M:VIX6M. Not often that all three are > 1. Very rare to have two in close proximity. But the steamroller is on the loose, so be careful out there.
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Four big $VIX spikes post the Big Kahuna last year. They all traveled approximately 3 ATR above the 20 EMA before turning down. Let's see what happens this time.
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Lots of noise these days about how $VIX is lower than it should be. Let me just point out that it sits at the 86th percentile of values going back to day one.
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The drop in equity markets was enough to lift the entire $VIX futures term structure, but not violent enough to flatten the first three months. Similarly, $VIX9D remains below $VIX. Bulls were punched in the face but not yet knocked out of the ring. @VixCentral
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This is what it looks like when $VIX has the biggest POINT drop in its history. The size of these bars is not indicative of a bull market. Not yet anyway.
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Don't mean to get all technical, but there was a sh*t-ton of $SPY volume in that last half hour.
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OK, $VIX fans. Tomorrow we expire the April futures contract (yawn). Meanwhile, the term structure has become very steep. It's been a tailwind for the short vol trade.
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@profplum99 posted this chart yesterday. I took it back another ten years and am still scratching my head. We live in unprecedented times.
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BIG change from this morning 😳 Based on history, the jump in $VX futures is quite large relative to the drop in equities. Either Monday is a big down day for the stock market or this gap shrinks a lot. (BTW, I have no idea)
Lots of equity green on my screen, but $VX futures not relaxing from yesterday's close. We shall see.
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Monthly Public Service Announcement: Nov $VIX futures contract expires tomorrow morning. Term structure is 99th percentile steep. I know we've got a long Dec cycle, but what happened to all those short vol Chads??
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$SPY 5-minute chart here. Not like this is some illiquid third-world ETF. I may be the only one who finds this humorous.
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Another examination of the $VIX term structure. BTW, I don't know what's going to happen. @VixCentral
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Old news for some, but worth a refresher. $VIX = 30-day implied vol for $SPX. Cheat code = divide $VIX by 16 for implied average daily move. $VIX at 22 gives you +/- 1.4% daily moves. Average change the last two weeks ~1%. So hard to see $VIX higher right now. #OrderlyDisruption
I know next to nothing about the VIX nor do I pretend to, but how is it basically sitting around the historical average?
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Hello again, #volatility fans. This is called "backwardation." It suggests that some group of investors thinks that Monday will be a bad day.
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So today's "rally" only got us back to where we were at yesterday's highs and $VIX lows. Stay tuned for the VIX Mix.
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October $VIX futures contract expired this morning at 15.35. Looks like the lowest expiration since Feb 2020 just prior to the 💩 hitting the fan.
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What a difference a month makes. BTW, current spread between $VIX6M and $VIX is 96% percentile.
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Oh no! Now everyone knows what I look like IRL. 🤣🤣
“Volatility [creates] opportunity,” Ballast Rock's @vixologist says. “If you have patience, if you’re a long-term investor, and if you’re blessed to have cash to put to work in an environment like this, these can be seen as opportunities to put some of the money to work.”
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This one is for the chart nerds. You know who you are because you recognize Average True Range as a superior measure of price volatility. You also understand that ATR should be expressed as a % of price over any extended period. And this recent mess is right up there!
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I love playing with small data sets. $SPX weekly and ATR channels. We've come a long way, baby.
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$VIX squeeze update. Bollinger Bands inside Keltner Channels and BB width less than 20. It doesn't matter until it does. This is a condition, not a trade signal.
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While it's on my mind, if somebody wants to show you all the good things that happen after $VIX goes above 50 and then comes back below 30, tell them to shut the F* up because its only happened three times EVER.
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Vol term structure only 3 points deep from bottom to top. This is not bull market contango.
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Yup. What Kris said. The spread between M1 (May) and M2 (Jun) is at the 96th percentile, while the M2-M3 (Jul) spread is 94th percentile. 5.5 pt spread between spot $VIX and M2 is 98th percentile. 👀
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Spoke to a small business owner last night whose workers receive more in gov't support than he was paying them. His business is still open but he can't get staff to come back. Wondering if other biz owners are seeing the same.
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Meanwhile, the bursts of vol starting last August have lifted the 1-year moving avg of $VIX back toward the threshold of 20 that I use as the borderline between low and high vol regimes. Not magical but stuff tends to get crazy if we hang out above the line for too long.
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Easy to forget what healthy contango looks like for $VIX term structure. Here's a refresher.
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For those concerned that the $VIX can't go any lower, it spent 236 trading days in 2017 below today's close and has been lower about 20% of the time in its history. Not a prediction.
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Modified take on @dampedspring's great work. This uses @CBOE ShortVol Index to calc one-month forward return (21 trading days) against $VIX on entry date. Data goes back to early 2005. I've noted a few highlights.
Selling 1 Month IV 101
There are some on here that say selling vol at the lows or at the highs are better than selling vol in the middle. Using the entire data set since VIX was created shows what you might expect
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Major equity indices down on the week, so vol must have gone higher, right? Not so fast. Realized vol remains in the crapper. Vol continues to be sold. The beatings will continue until morale improves.
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If you've lifted your hedges and gone long equities, just keep one eye open cuz spot $VIX is still hovering above the entire futures term structure and that's not a good look.
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Every time I listen to our buddy @jam_croissant, I get 1% smarter and feel twice as dumb all at the same time. 😖😂😉
Get your fill of Jam Croissants here!! 👇👇👇
@jam_croissant
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Good question here. In fact, SPX realized vol (red line) is above both VIX (yellow) and the blue VX30 (constant maturity VIX futures). Supposed to be VX30 > VIX > RV21.
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Which one of you goofballs is piling in to the $VIX mid term futures? Is this one of those short in the front, long in the back trades?? 🤔
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Let's be clear about what happened today. It didn't get worse, but this is a bad look and a headwind to your short vol trade.
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Follow up to my chart yesterday. These bearish divergences don't mean anything if you own the shrinking number of stocks that are driving the index higher. But you might want to make sure you have access to the nearest exit.
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Nothing too scary here, but VIX term structure says the bulls are NOT in charge right now.
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If you're surprised that $VIX is higher this morning with $ES rallying, then you haven't been paying attention in class. #Weekend_Effect + 1
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Junk bond spreads and yields remain low but this measure the high yield market is signaling caution FWIW. h/t @McClellanOsc
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Here's the graphic of the history we've just witnessed.
OK gang!! Some day on @Jeopardy: On April 10, 2025, the CBOE volatility index (VIX) did this for the first time ever. "What was four days in a row with a daily range of 20 points or more."
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Several people asked why be careful. First, spot VIX was above the Feb contract. We prefer a premium for the futures over spot. Second, the term structure is relatively flat (~1.5 points) and a steeper curve is generally more supportive of risk-on conditions.
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July $VIX futures contract expires this morning. Meanwhile, the term structure is VERY steep. This is a tailwind for the short vol trade that has been crushing it (not a recommendation). Just remember that extreme conditions will eventually change.
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OMG!! It's out in the wild!! 😁😉
"We're concerned that the impact of the tariffs really hasn't been seen yet in earnings," Ballast Rock Private Wealth portfolio manager @vixologist says. "There are a lot of signs to suggest that ... we're certainly going to see some recessionary outcomes from the tariffs."
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I'll be ignoring this cesspool most of the day, but here's a quickie. Spot VIX actually below the front end of the futures term structure. Are we finally headed toward contango??
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It's early, but we're still looking at backwardation in the $VX term structure. That tends to be a headwind for short vol/long equity.
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This is what gravity looks like. Equities are pretty flat but VIX futures term structure is feeling the need to close the gap between Aug and spot $VIX. That spread still sits north of the 90th percentile.
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Before you get too excited about today's uptick, spot $VIX continues to levitate above the entire futures term structure and we still have backwardation up front. Just be careful out there.
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Dec $VX contract expires Weds morning. Jan contract will have only 17 trading days. Juicy short if everything stays where it is. Not a recommendation.
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And here's what $VIX futures look like at the moment. Not as bad as a week ago when it was DeepSeek.
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Updating a chart that I've shown before. Tracking cumulative advance-decline line for junk bonds. No surprise that the bond market is not happy but also not supportive of any major rebound in stocks.
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DAMN! $VX30 is down almost 10% on a 2% uptick for $SPX. It would appear that risk has been extinguished.
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$VIX term structure back where it was last Friday. Hope you survived Monday's bear market. 😉 @VixCentral
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