Volatility remains compressed with a slow and steady move lower
on declining volumes.
Protection is being bid at levels out the VX Curve at levels for
February and March Expiries.
It appears the Operators are beginning to Position ahead of the
FOMC Meeting - January 25-26 (Tuesday-Wednesday).
_________________________________________________________
Price...
Gaps overhead, with New Lows in the Trend.
The VIX Curve remains well spread from M1 - M3.
CASH/SPOT @ 14.98
VIX 11/21 @ 18.75
VIX 12/21 @ 20.70
VIX 01/22 @ 22.35
We are seeing the 400 Tick Settlement Spread come in... it
gained 23 Ticks on Close yesterday.
The ES completed the run to our Price Objective @ 4546 to
the TICK this Morning.
All one needs to know.
Extreme caution is warranted here.
I often do not include the larger Dialy targets for the VIX
at the Lower Extensions for Price AFTER 4/5 Completes.
12.30
As Roll / Settle approaches for the VX M1 - M2 --- they are attempting to
fend off the 50/200 cross for the VIX... good luck riggers on the trigger.
M2 will appear to have a Gap as the Continuous Contract
Squares.
Typically we see a front run of Volatility ahead of Roll and things
pickup again after settlement as Wednesday to Friday is EOW
and decision time.
SO...
The pattern, which for going on 7 Months has been the same.
We see Price Action in the VIX Complex within a tight timeframe
surround ST Constant 30 Day Maturities (M1/M2) - during Roll
Week (prior 2nd Wednesday of Front Month M1) into Settlement,
the 3rd week.
Every Month this skews the VXX on the ST Curve as it front Loads
100% of exposure to Roll Yield.
77%...
VXX is going to absolutely RIP Higher - the panic is building.
When it goes, it's gone.
Buckle Up, it's Sporty time is directly ahead.
Positive Divergences are enormous on DTF< WTF< MTF.
VXX coming back to lower end of Range.
We are preparing for a large Selloff in the next 48 hours.
VXX Entries are Laddered down to 24.50 from 27.05.
M1/M2/M3 VX Curve as well M3-M4 provide pressure for now...
Only for Low Participation - We anticipate a High Tomorrow at the
latest for ES.
It can hold off as late as Globex... we'll be 40% into our SELL...
