VIX - CBOE Market Volatility Index

pirelli

I am surprised we have no thread here. We are now at the point on the vix that is at a level not
seen since April 2007.

The wall street journal had the words "Stocks have replaced Bonds for 2011" emblazoned on
their back page as the place where the money will be, and we have had a very good few months.
Coporate profits are on the rise and Banks are slated to rise etc and we have the FED stimulating
the Market with promises of QE when ever required and now a tax bill waits to be signed removing much uncertainity in the short to medium term.

Goldman Sachs recommended shorting the VIX a couple of months back, which has transpired,
it seems; to be not such bad advice; but i have to wonder if there is a more cryptic meaning.
It might also be a sign that wallstreet want to keep a bullish market and fear a situation like what
happened in Japan that would drive investors away. It would seem the vix is happily being forgotten
and resigned to become a tame ally of wall street for a few more years at least.

So will this potential technical play tempt you to buy some Vix. It is bound to bounce one way or
another sooner or later but it seems not this month. In options there is Lots of paper buying in Feb and March and recently Jan calls.

Bullish

Hey pirelli,
here you can see in the chart on the left the VIX front month futures, the feb is currently priced in the 20s.
http://cfe.cboe.com/DelayedQuote/CFEFuturesSymbology.aspx

Equal pricing for the jan expiry in the options is 19 dollars,
Jan 11 we kick off earnings season again, So i would expect some volitility pre earnings season.

daveirl

This post has been deleted.

ixus

Vixandmore blog

VIX and the Week Before Christmas

I guess I should not be surprised that a VIX of 15.45 – the lowest since July 2007 – has all manner of pundits scrambling to pull some sort of explanation out of a hat and weave it into their favorite bullish or bearish forecast for the markets.

In fact, the new low in the VIX is not a big deal, at least during this time of the year. I have talked about this before on a number of occasions, including in VIX Holiday Crush and earlier this week in Chart of the Week: Historical Volatility Plummets in Seasonal Swoon. Call it the holiday effect or calendar reversion, but when the VIX’s 30-day window includes two holidays and two additional historically slow days in advance of the Christmas and New Year’s holidays, volatility has a tendency to take a vacation.

How strong is the tendency toward a low VIX? Well, consider that in five of the last eight years, the annual low in the VIX fell during the week leading up to Christmas. Last year, some may recall that the VIX made its annual low on Christmas Eve. Back in 2004, the VIX had its low for the year on December 23rd; and in both 2003 and 2006, the VIX bottomed out for the year on December 18th. Today’s low makes it five pre-Christmas bottoms in eight years.

So keep a close eye on the VIX and feel free to marvel at how low it goes, but consider that during the holiday season, experienced investors will give very little credence to the absolute level of expected 30-day implied volatility in S&P 500 options. Only after the first of the year should we take the VIX numbers seriously, regardless of how low prices and implied volatility levels may be marked down in the pre-Christmas shopping rush.

mickman

bullishness is rampant in the market. usually means a correction is on the way

pirelli

Well time to pack in lads. Just checked my share account and I'm up 120% the last 3 months and that's more from cautious trading than risk taking, but there has to be risk. I bought BBY to carry me into the Christmas. Nice watching it climb against the market. If it holds 34.20.