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VIX Decoupling Band Snaps Even As SPX Still Has A Ways To Go

Tyler Durden's picture




 

A mere 7 hours ago in "Just in case there is no deal" as is now the case, we noted that there was a considerable divergence between the equity market's roiling exuberance (and the accompanying over-confidence of the naive watchers) and the occurrences in the implied volatility world. VIX had decoupled rather notably from stocks (and its term structure had flattened as short-term protection was heavily bid). Sure enough, at the first sign of things not quite going to Plan (A, B, or Z), equity futures have collapsed amid a total farce of a market liquidity to recouple with volatility. With quad-witching tomorrow, we can only imagine the efforts the algos will be going to tonight to keep this afloat.

S&P 500 futures recouple down to VIX

 

Meanwhile S&P 500 futures are anchored to VWAP (but unable to break above)...

 

Of course, the whole point of this superficial equity-to-reality divergence was to fool - very successfully judging by the flash crash - both relatively smart market participants, what little of them is left, as well as superficial sidelines' commentators with zero trading experience.

 

 

 

Chart: Bloomberg

 

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Thu, 12/20/2012 - 22:55 | 3085334 knukles
knukles's picture

Holy Crapplesachnapples
Quad Witching!
What more could anyone in their right mind want for fun tomorrow?
And some how, some where in the far back reaches of my befuddled mind I remember a story/news item from early this year about a bazillion gold options written/purchased/whatever at the $1700 level.  Now what might that gotta do with the last few days if accurate, eh?

Thu, 12/20/2012 - 22:57 | 3085348 ball-and-chain
ball-and-chain's picture

You wanna know something?

You took the words right out of my mouth.

I've been saying exactly the same thing for close to a decade.

Great minds must think alike.

http://www.angrysinner.blogspot.kr/2012/12/yesterday-i-hiked-ten-miles-through_20.html

Thu, 12/20/2012 - 23:16 | 3085411 Theta_Burn
Theta_Burn's picture

To all those short right now...Merry Christmas

 

Thu, 12/20/2012 - 23:33 | 3085466 smlbizman
smlbizman's picture

you know, i dont feel like buying a shirt but for some reason i do feel like buying a set of tits....silicone...

merry christmas..

Thu, 12/20/2012 - 23:53 | 3085526 otto skorzeny
otto skorzeny's picture

I miss the "I Just Pooped" t-shirt chick-what can I say-I like my eggs "Danny Thomas Style"

Thu, 12/20/2012 - 23:45 | 3085495 BlueStreet
BlueStreet's picture

With the farse that was Mon and Tues many, myself included, are hoping just to get back to where we were last Fri.  Too bad for those who covered.  VIX was the key to be patient.  

Thu, 12/20/2012 - 23:28 | 3085445 Uber Vandal
Uber Vandal's picture

Baltic Dry Index sure looks "bullish" too.

 

Thu, 12/20/2012 - 23:40 | 3085485 Cursive
Cursive's picture

@knuckles

What more could I want?  Let me see...Jamiefalls down a manhole and is never seen again, Lloyd decides to join his god, Timmay is unmasked a client 9 at a young men's escort service, BernanQE doing a perp walk....just for starters.

Fri, 12/21/2012 - 03:18 | 3085980 Nobody For President
Nobody For President's picture

Don't forget Corozine in the perp walk.

Fri, 12/21/2012 - 05:46 | 3086090 asteroids
asteroids's picture

Nah, he is found mysteriously hanging with two bullet wounds to the back of the head. Police will call it a suicide.

Thu, 12/20/2012 - 22:56 | 3085340 cdude
cdude's picture

Algoplexy

Thu, 12/20/2012 - 23:06 | 3085358 PeeramidIdeologies
PeeramidIdeologies's picture

Fiscal Cliff? Or fiscal shift?

Thu, 12/20/2012 - 23:14 | 3085398 Cycle
Cycle's picture

Or fecal sniff?

Thu, 12/20/2012 - 23:46 | 3085504 Keegan11
Keegan11's picture

Or sneak a fifth?

Thu, 12/20/2012 - 23:03 | 3085365 LongSoupLine
LongSoupLine's picture

Tomorrow will be the fucking poster boy for goal seek.

Thu, 12/20/2012 - 23:03 | 3085368 disabledvet
disabledvet's picture

trade away cocktards. you'll be selling used cars by Wednesday...http://www.youtube.com/watch?v=RVUxgqH-y4s

Thu, 12/20/2012 - 23:06 | 3085374 Yen Cross
Yen Cross's picture

 That VIX double headfake today was great! I have been smoked so many times for not waiting for moves like that to confirm/

 

Thu, 12/20/2012 - 23:07 | 3085378 Wakanda
Wakanda's picture

Mayans, it's all about the Mayans.

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Thu, 12/20/2012 - 23:08 | 3085382 max2205
max2205's picture

Trading will be closed Friday due to the world ending...... Sorry put holders

Thu, 12/20/2012 - 23:31 | 3085453 Nid
Nid's picture

Aww rat-fuck! Snake bitten again.

Thu, 12/20/2012 - 23:18 | 3085413 TonyCoitus
TonyCoitus's picture

My charts show major head and shoulder flaking. Watch the tail spin triple reverse. I've never seen anything like it. Be careful out there.

Good thing I'm stocked up on reefer, Cheetos and Schlitz.

Heading to Riyadh in the morning. Wish me luck.

Oh fuck, the charts are upside down, never mind . Sorry

Thu, 12/20/2012 - 23:24 | 3085436 Yen Cross
Yen Cross's picture

 Don't freeze your ass off, and be safe. Make sure you leave your Christmas cards properly stowed, and bring lots of booze/

Thu, 12/20/2012 - 23:22 | 3085430 chump666
chump666's picture

Remember Sandy, futures were over 1% short with rallies on open. Need more market correlation for a major sell. 

The money printers you rotten a-holes, one day, maybe next year, your bs won't float. 

Thu, 12/20/2012 - 23:31 | 3085454 Yen Cross
Yen Cross's picture

 Markets are overbought. Everyone is jockeying for position in 2013.  Fund managers are making the same mistake.

 They are catching falling knifes/ The markets don't recognize (fiscal/calendar) years. The markets will fall in q-1 and these guys are positioned too early.

Thu, 12/20/2012 - 23:25 | 3085441 fonzannoon
fonzannoon's picture

here comes act 8 of the kabuki theatre. stock market panic. u bet your ass it will be down 200 at 6am. more importantly it COULD be down 7000 points by noon. so tune in to squak box followed by the halftime fast money guys followed by whatthefuckever followed by the closing bell. stay fucking glued all day. piss your pants if you have to and don't move until after mad money. Thaaaaaaanks

-CNBS management

Thu, 12/20/2012 - 23:50 | 3085514 otto skorzeny
otto skorzeny's picture

Maria B had the balls to call some congressman "incompetent" today while she interviewd the guy- talk about the fat-ass calling the kettle black

Thu, 12/20/2012 - 23:56 | 3085536 The Shootist
The Shootist's picture

So we should expect rule 39 to be in effect upon the morn?

Fri, 12/21/2012 - 00:38 | 3085730 ekm
ekm's picture

Stop watching cnbc. Sell the TV and cut off the cable.

It's been working for me since 2001. No TV since. I love it. I don't allow myself to be brainwashed.

Fri, 12/21/2012 - 00:00 | 3085546 Rompoculos
Rompoculos's picture

Maybe the bond vigilantes were around all along busy BUYING the sovereign bond market, waiting to sell the bonds to the panicked herds at just the right time. Is it the mother of all bond bull traps?

Fri, 12/21/2012 - 00:01 | 3085552 Lost Wages
Lost Wages's picture

This Black Friday will be the Blackest!

Fri, 12/21/2012 - 00:59 | 3085794 ugmug
ugmug's picture

Obviously a racist remark aimed at Obama....a knock on your door will be arriving forthwith.

Fri, 12/21/2012 - 02:29 | 3085945 Lord Of Finance
Lord Of Finance's picture

Gonna be a late night boys. looks like i picked the wrong week to quit amphetamines.

Fri, 12/21/2012 - 03:27 | 3085985 Nobody For President
Nobody For President's picture

This is SO exciting! I can hardly wait another 7 hours!

More brandy!

(Maybe I'll get back to Tuesday...)

Fri, 12/21/2012 - 07:56 | 3086154 merizobeach
merizobeach's picture

VIXie, you manipulated slut!

Tue, 12/25/2012 - 22:20 | 3095561 MeelionDollerBogus
MeelionDollerBogus's picture

This is promising: http://scharts.co/Zz3trV

finally VXX (not quite VIX) vs SPY (not quite S&P500 or ES) is looking to follow sensible (prior measured long-term) correlations.

19th dec, 144.56 spy high, 28.12 vxx low

16 nov , 133.75 spy low , 37.22 vxx high

power ratio aka "equivalent etf" -3.60727007217

so VXX in this time-frame is acting like an unleveraged -3.6 ETF on SPY or 3.6x bearish ETF rather than FAZ alleged 3.0 bearish or SPXU alleged 2.0 bearish.

On this time scale http://scharts.co/U8BMi0 I'd say it's looking like

5 months ago 136.97 & 51.96  vs 143.65 & 31.96 dec 24th (admittedly post-reverse-split price, not what actually happened on that day 4:1 conversion):

-10.2060246675 or 10.2x bearish ETF equivalent, far exceeding FAZ, RSW, SPXU.

If this should remain consistent & SPY drops to 120 from 143.65, this looks like:

0.835x of SPY or -16.4% , 6.26x multipler on VXX , bringing it up from 31.96 to 200.20 without any stock splitting. IF the ratio drops back down to 4.0 because 10.2 is so extreme this still puts VXX to 65.74/share unleveraged.

No use of margin, no use of options.

http://flic.kr/p/daxu6H : so... takers?

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