Idea for VIX: - Spot VIX sub 17 (quickly rising), 2 point spread has appeared between spot VIX and front month, with a high degree of contango in term structure, and a significant spread between Treasury volatility (MOVE). - Daily Roll Yield 0.10~ - Possible to either capture spread, or have a low risk bullish bias. - Positive correlation right now with Vol and Equities. High demand.
Strategy: - VXX-VXZ spread, reverse calendar spread, front month-spot (ES or spot VIX options) spread. - Front month VIX, spot hedged (ES or spot VIX options).
GLHF - DPT
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GDP (QoQ) Atlanta Fed Nowcast revised to +0.2%, BEA number tomorrow morning. Est: 2.7% Prev: 6.7%
GDP shock tomorrow?
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U.S. GDP at disappointing 2.0% in Q3 vs 6.7% in prior Q2, missing the estimate of 2.7% by 0.7%.
GDP related volatility took a day to materialize.
AU02Y with a >10 sigma move, possibly presaging a move in the bond market:
AU 2s10s
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VIX rejected from the channel today, with front-loaded move in pre-NY (but still a rising trend):
However, Treasury volatility still advancing, while spot yields making large moves today, as well as the dollar making an impressive move. Elevated VX front months gained.
Mutual + Pension fund allocations squeezed a few bps in SPX, but have now completed, with Fed next week. Expecting the convergence move next week.
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Rate hike expectations being moved forward via ED market, could it be that tapering will be accelerated?
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VIX still trending up, while more Vol components indicating rising market stress:
Should be a big week, with FOMC, OPEC, NFP, RBA and BOE. Expecting equity market reversal midweek-next week.
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FUNNY STAT: Last time MOVE was as these levels VIX was at 54!
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This week, commercials went record net short indices, and massively long UST (Large speculators are equally short, about to be short squeezed). Havens rose this week with Equities gamma squeezing: Dollar, Swiss Franc, Gold, UST, VVIX + VIX, and this is vs. bullish non-commercial + retail positioning. Big boys are setting up a rug pull IMO. Catalyst/deflation coming. China High Yield will not be contained forever.
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First 2 attempts were rejected, yet the Volatility Complex continues to move up, with the equity volatility diverging:
It is equities that always moves last, so holding strong.
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November's VIXperation (tomorrow) with a 99th percentile contango
עסקה סגורה: היעד הושג
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“The most important thing as a trader is to see the opportunity. The others didn’t see what I saw.” - Marc Rich
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Nov 26 was the 4th largest single move of VIX in history.