Volatility - Convergence, Reverse Calendar Spread
Updated
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
- 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
Comment
GDP (QoQ) Atlanta Fed Nowcast revised to +0.2%, BEA number tomorrow morning. Est: 2.7% Prev: 6.7%GDP shock tomorrow?
Comment
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
Comment
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.
Comment
Rate hike expectations being moved forward via ED market, could it be that tapering will be accelerated?Comment
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.
Comment
FUNNY STAT: Last time MOVE was as these levels VIX was at 54!Comment
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.Comment
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.
Comment
November's VIXperation (tomorrow) with a 99th percentile contangoTrade closed: target reached
“The most important thing as a trader is to see the opportunity. The others didn’t see what I saw.” - Marc RichComment
Nov 26 was the 4th largest single move of VIX in history.
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