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CruciVIXion

Tyler Durden's picture




 

The USD ends the week up over 0.6%, Treasury yields down 2-4bps, Silver up 4.6%, Oil 2%, and Gold 1.4%; but it is VIX that rules the waves of unreality this week as it collapsed from this morning's unchanged on the week, played catch down to stocks (from yesterday) and then led stocks on a vol steepening/compression extravaganza down to 12.31% - its lowest since June 2007 as the 'contingent' extension of the debt-limit appeared the initial trigger and nothing at all the secondary trigger. AAPL wavered below and tested up to $500 (amid very large average trade size) but was the distinct loser once again with size sellers as S&P 500 futures surged (yet agin inferring the unwind of the long-AAPL, short-ES trade continues). Once the fire was lit, there was no stopping the stop-chasing momo run in stocks as ES chased all the way up above the week's highs. VXX was crushed (as the curve also compressed) and high-yield credit and stocks tracked each other in the rampapalooza. Of course the moment the day-session close, ES cracked back lower but for now no one cares (ending up just 5 points in the S&P cash).  

Average trade size was high once again in the S&P as the USD, Bonds, and Stocks were bid.

 

Treasuries didn't buy it but who cares - VIX led the way...

 

VIX recoupled then they were off to the races together...

 

S&P 500 futures are 4-5points off the day-session closing highs as futures close...but we have tested this upper range...

 

And Treasuries were not buying this risk-on thing...

 

Nothing is stopping stocks now... USD strength on the week...

 

Tech was the only loser on the week (thanks to AAPL) as Energy and Industrials led - with financials just eking out a gain by the close today.

Stocks took off in the afternoon in a world of their own relative to risk once again as cross-asset-class correlatin collapsed with CONTEXT (our risk proxy) not buying into the strength at all...

 

The VIX term structure steepened notably once again to near 5-month steeps - and pushing it near a cyclical level that tends to mark short-term turning points in complacency in stocks...

 

What happened the last time VIX dropped this far this fast? It was July 2006...

 

Charts: Bloomberg and Capital Context

 

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Fri, 01/18/2013 - 17:22 | 3167466 bnbdnb
bnbdnb's picture

Trade YEN / Buy STOCKS

Fri, 01/18/2013 - 18:02 | 3167619 disabledvet
disabledvet's picture

Pretty much. I mean Jamie Dimon must be the one weeping given the loss of capital he can't use to trade with on this honey. All the other MC Banks are quickly putting out the last of their "regulatory arbitrage" issues and looking forward to "that fine young man's second inaugural." Again I'm not changing my tune (rather odd since I'm a data guy and we're talking markets not religion)--basically long everything. I'm sticking with the large caps because GDP was WAY overstated by this Administration and that means de minimus inflation going forward. "Equity heaven." He'll even GE moved higher! (not to Chairman Immelt...you don't just want to make things...you want to make EVERYTHING. Look forward to your hiring spree should you do that as well.$)

Fri, 01/18/2013 - 22:10 | 3168190 max2205
max2205's picture

I am stunned by the collapse in TVIX.

Time to pick up some moar....

Sat, 01/19/2013 - 05:47 | 3168557 samcontrol
samcontrol's picture

i suppose that is sarcasm..... maybe a small casino play in the vix at these levels, but "more" means you where plain stupid for a long time...

Fri, 01/18/2013 - 17:24 | 3167474 Say What Again
Say What Again's picture

I don't get it...
What am I missing?...

The SP500 is up 4% for the month of January, and 6% since Dec 30.
The RUT   is up 5% for the month of January, and 7% since Dec 30.
The INDU  is up 4% for the month of January, and 6% since Dec 30.
The TRAN  is up 7% for the month of January, and 9% since Dec 30!

OK, I may have been a bit pessimistic about the short term financial situation, what with the debt ceiling, fiscal cliff, more wars with more the folks in the dessert, but....

Does this market reflect reality?  Are we that much better off now than we were 15 days ago?

OK, rhetorical question. 

Fri, 01/18/2013 - 17:44 | 3167553 yogibear
yogibear's picture

No, but doesn't seem to matter.

Fri, 01/18/2013 - 18:48 | 3167761 bonzo112358
bonzo112358's picture

At some point it will matter.  But right now the fund managers want to push the SPY above 150 so they can convince more people to give them money to manage and whip out the S&P 1500 hats just like they did for Dow 13000.  Of course me being the dumbass that I am had to buy some more March put spreads this week.

And as for your question as to whether or not we are better off now than 15 days ago, we are probably worse off than we were then.  Money managers once again seem to be front running what they think will be some miraculous act of congress that will wipe out our debt and vault us to the number one economy in the world. 

Fri, 01/18/2013 - 20:24 | 3167976 Aurora Ex Machina
Aurora Ex Machina's picture

Get on side, and be a team player:

They are not allowed to do down.

They will all go up

Until they can't.

Fri, 01/18/2013 - 22:10 | 3168195 max2205
max2205's picture

Ah.... And up 45% since nov 2011. That's a run

Fri, 01/18/2013 - 17:24 | 3167478 Squid Vicious
Squid Vicious's picture

Comical... Yahoo headline: Wall Street Closes at Five Year Highs on Earnings!!

Fri, 01/18/2013 - 22:25 | 3168212 ZeroAvatar
ZeroAvatar's picture

If I'm not mistaken RUT, SP '400' and Dow Trans all hit NEW NOMINAL HIGHS.....(or am I mistaken?)http://www.financialsense.com/contributors/ryan-puplava/all-time-highs

 

 

 

$85 billion/Mo buys a lot of sugar. Reality will assert itself.

Fri, 01/18/2013 - 17:26 | 3167487 Rompoculos
Rompoculos's picture

Buysexuals. The lot.

Fri, 01/18/2013 - 17:28 | 3167494 gaoptimize
gaoptimize's picture

How high does silver have to go before my NYSE:SIL get any upward movement?  Glad I have some Sprott PSLV.

Fri, 01/18/2013 - 17:32 | 3167507 Say What Again
Say What Again's picture

Tyler,

Is there a symbol for the VIX Term Structure in TradeStation?

I know about VIN/VIF,  $VXMAR.X, etc.  I'm looking for a symbol that covers the VIX futures for various expirations.  I can tell from some of your charts, that you get this off of Bloomberg.  I'm looking for it on TS.

And while you're at it, I'm also looking for CDS indexes.

Fri, 01/18/2013 - 17:41 | 3167528 razorthin
razorthin's picture

Went to cash today.  ES way overextended.

Fri, 01/18/2013 - 22:19 | 3168208 SAT 800
SAT 800's picture

Just sold two ES contracts at 1479.1; #100/pt. so we'll see how that works out. the Mar. futures chart looks like a nice double top to me. I like doiuble tops. there's a limit to everything, even idiocy.

Fri, 01/18/2013 - 22:29 | 3168220 ZeroAvatar
ZeroAvatar's picture

Now YOU are ONE SMART MAN! razorthin

 

(I'm VERY CLOSE to doing the same)

Fri, 01/18/2013 - 17:44 | 3167550 bnbdnb
bnbdnb's picture

Its all YEN.

Fri, 01/18/2013 - 17:45 | 3167555 Clowns on Acid
Clowns on Acid's picture

Why can't a member of Congress ask the Fed, wee Timmy, of Jack "Who knew?" Lew if the Fed or US Treasury has traded any Stock Incides or VIX, or indeed any single names in the past 5 years?

They may lie....but at least they would be on record...

Fri, 01/18/2013 - 19:03 | 3167798 mkhs
mkhs's picture

Because they already know the answer and don't really care?

Fri, 01/18/2013 - 17:46 | 3167563 pragmatic hobo
pragmatic hobo's picture

interesting how vix is getting crushed as we enter the meat of earnings season ...

Fri, 01/18/2013 - 17:48 | 3167565 fonzannoon
fonzannoon's picture

earnings don't matter.

Fri, 01/18/2013 - 17:49 | 3167569 Joe moneybags
Joe moneybags's picture

Tyler, it's Jan 2013.

Fri, 01/18/2013 - 18:57 | 3167782 realtick
realtick's picture

Yeah it is

Fri, 01/18/2013 - 17:54 | 3167590 Joe moneybags
Joe moneybags's picture

Today's 7% fall off in the Vix is mostly due to the equity options expiration.  This little hiccup happens every month at this time, to some degree or another.  The VIX will be back about 13.5 on Monday (which as Tyler pointed out, is still a 5 1/2 year low).

Fri, 01/18/2013 - 23:03 | 3168284 flacon
flacon's picture

Monday is a holiday. But yeah I think VIX is going to bounce on Tuesday. 

Fri, 01/18/2013 - 17:59 | 3167611 LongSoupLine
LongSoupLine's picture

these charts are nothing but Fed shit trails...

 

 

 

 

 

fuck you Bernanke.  die you fucking puke.

Fri, 01/18/2013 - 18:23 | 3167705 jim249
jim249's picture

Suprising? No. Consumer confidence is down, pay checks are down, taxes are up. This whole "recovery" is based on a rising stock market. The Fed has to push the markets higher to try and keep this fake recovery going.

Fri, 01/18/2013 - 18:25 | 3167711 AndrewJackson
AndrewJackson's picture

Bravo ben bravo. Really, I didn't really think you could manipulate this pile of dog shit higher. Incredible.

Fri, 01/18/2013 - 20:01 | 3167912 DowTheorist
DowTheorist's picture

We shouldn't fight ben!

Today the "classical" Dow Theory has flashed a primary bull market signal.

http://www.dowtheoryinvestment.com/2013/01/dow-theory-update-for-jan-18-...

Furthermore, on Jan 2, the Schannep's version of the Dow Theory also flashed a bull market signal as it is explained here

http://www.dowtheoryinvestment.com/2013/01/dow-theory-special-issue-asse...

Furthermore, even the secular oriented Schaefer's version of the Dow Theory is very long term bullish according to the 50% principle.

So there is an eery unanimity....

So while a correction may be nearing, this is not a market to short. Don`t fight the fed!

Fri, 01/18/2013 - 22:13 | 3168199 SAT 800
SAT 800's picture

Fuck you and the Theory you rode in on. I just took an 1800$ hit on my bad guess at an S&Ptop; but I'm going to short it again; this is a bullshit market.

Sat, 01/19/2013 - 05:51 | 3168558 samcontrol
samcontrol's picture

i lost 25k on uvxy , and i don't tell people to fuck off,, just myself.

Sat, 01/19/2013 - 05:56 | 3168562 samcontrol
samcontrol's picture

i lost 25k on uvxy , and i don't tell people to fuck off,, just myself.

Fri, 01/18/2013 - 22:31 | 3168225 ZeroAvatar
ZeroAvatar's picture

I'd wait to see if there's any 'follow-through'.....I don't expect any.

Fri, 01/18/2013 - 21:44 | 3168143 Jake88
Jake88's picture

"momo"? what language is that? Is that Stupid for stupid?

Sat, 01/19/2013 - 03:21 | 3168518 StychoKiller
StychoKiller's picture
"CruciVIXion?...

Good, second exchange on the left, one death-cross each."

Sun, 01/20/2013 - 01:45 | 3170197 Grand Supercycle
Grand Supercycle's picture

Despite the SPX short covering spikes - bank index & BAC charts tell the real story.

http://trader618.com/2013/01/10/thurs-10-jan

Do NOT follow this link or you will be banned from the site!