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Is This Why VIX Is On The Rise Today?

Tyler Durden's picture





 

After record-breaking compression and six consecutive drops in VIX (along with a morning full of further compression) spot VIX is bleeding higher now. Having caught 'down' to stocks' ebullience yesterday, it appears the hedgers are either covered or rolled further out but there is another reason perhaps (aside from the absolute cheapness of protection). Quantitatively, the implied volatility of the S&P 500 is now below its recent realized volatility (this difference is really a better indication of how fearful or fearless investors are) - and on each of the previous three occasions that has occurred in the last year, VIX has risen notably relative to realized in the next few days.

 

VIX and Stocks recoupled last night...

 

S&P 500 implied vol is below its short-term realized vol (upper pane - red ovals). This has tended to be a great vol-buying (gamma/vega scalp) opportunity in the past year (lower pane) and perhaps became just too good to be true for the options traders.

 

Charts: Bloomberg

 


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Wed, 01/09/2013 - 14:49 | Link to Comment mrktwtch2
mrktwtch2's picture

ill be buying at vix 11.98..will hit it next monday or tues..

Wed, 01/09/2013 - 14:51 | Link to Comment busted by the b...
busted by the bailout's picture

 "This has tended to be a great vol-buying (gamma/vega scalp) opportunity in the past year"

I hope so; I'm in and adding.

Wed, 01/09/2013 - 14:59 | Link to Comment dirtyfiles
dirtyfiles's picture

you dont need fucken protection in this govermant market

uhm..uless for funn

Wed, 01/09/2013 - 14:54 | Link to Comment AccreditedEYE
AccreditedEYE's picture

Great. Again, just BTFD. Gonna have a break-out-and-up day! Just wait till 3:00...

Wed, 01/09/2013 - 14:55 | Link to Comment SuperDeDuper
SuperDeDuper's picture

VIX is in major contango, only one place for those ETF's to go and its down.

Wed, 01/09/2013 - 17:19 | Link to Comment Freddie
Freddie's picture

What about the RUT?  A joke.  They just keep levitating it.

Wed, 01/09/2013 - 15:00 | Link to Comment wee-weed up
wee-weed up's picture

Worried about VIX on the rise? Gimme a break! Down in the 13's - VIX is lower than whale shit on the bottom of the ocean!

Wed, 01/09/2013 - 15:04 | Link to Comment asteroids
asteroids's picture

There will some day be reversion to the mean. That means that VIX will overshoot to the upside. Until then, stay out of this fake market. Volume today sucks anyways.

Wed, 01/09/2013 - 15:18 | Link to Comment Pareto
Pareto's picture

VIX sees zero before it sees 80.

Wed, 01/09/2013 - 15:37 | Link to Comment Motorhead
Motorhead's picture

Charts, bitchez!

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