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A view of the VIX Futures closing prices over the previous six months:
Actual market volatility vs forward implied volatility Why we watch this.
Premium of front month VIX futures to Spot VIX. Why we watch this.
Term structure slope. Why we watch this.
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*Disclaimer: Data and charts are provided 'as-is' and solely for informational purposes, not for trading or advice. Availability and accuracy of data and charts on this page are not guaranteed. Delayed VIX futures quotes provided via CBOE. No content on this site can be used for commercial purposes without the prior written permission of the author. Copyright © 2012-2013 Trading Volatility, LLC. All rights reserved.
If memory serves, last March (2012) we saw a record or near record steepness in the Mo 1 v. Mo 2 spread. Is that in keeping with your memory/data? I realize we only have 8 days left to own March, but at 1.50 under.....at what point is it worth a stab?
ReplyDeleteYour memory is excellent. See here (http://postimage.org/image/5ojj84741/) for a graph of M1-M2 back to Nov 2011.
DeleteI typically like to be long XIV when the spread is at least <-1, but with VIX pushing down to new lows I don't find the risk/reward in a long XIV trade to be that attractive.
I'm just a caveman and can't access that image. As I recall, this time last year was when the TVIX had to stop issuing shares/reverse split (again)....and I would expect similar situation again soon. Thoughts?
DeleteThanks for your time. Reading your posts, i begin to think how it is possible for the XIV being at 22,78, and not at 24,17 year highs, when the VIX spot and March, April Vix futures are at 2013 lows? Thanks
ReplyDeleteXIV provides a return that is equal to the daily performance of month 1 and month 2 futures, so it will not necessarily mirror longer term against an index such as VIX or the SPY. In this particular case, XIV is lower than you'd expect due to the massive down day on Feb 25 in which XIV lost 14%, distorting the price movement over the longer time frame.
DeleteJay, this site is exceptional. I actually made a really quick 2-week gain of ~30% last fall playing XIV, but candidly had little idea what I was doing at the time. Your site and the technical features really crystallize the concept and highlight the optimal time to capture the rolling yield. Thanks very much for sharing!
ReplyDeleteThanks, Stilian! That's great to hear!
DeleteJay, curious what you make of the HV21 dip on the historical vs implied chart. Seen this before many spikes in near term volatility.
ReplyDeleteThe dip on HV21 on the chart today is a result of the big volatility day on Apr 15 (when SPX lost 2.3% -- 22 days ago) dropping out of the calculation.
DeleteWhat you pointed out is a strange phenomenon though. Very often it does hold true that after a month or more goes by where actual market volatility is very low, volatility (actual & implied) picks up again soon after that.
HV21 will try to drop further down to 8.0 over the next two days as moves of 1.4% and -1.4% from April 16 & 17 drop off the calculation.
Jay-
ReplyDeleteAm wondering why my HV21 for the S&P 500 Index is coming out differently when I run it on Bloomberg? For the cash using an annualized factor of 260, I get a value of 9.0654. If I change the HV to 30 from 21, I get 13.2114. For the S&P 500 Generic Future using an annualized factor of 260, I get a value of 9.3486. If I change the HV to 30 from 21, I get a value of 13.9783. Not asking about the differences in days (I know that volatile sessions are dropping off here between 21 and 30), but why can't I seem to get the same result as you have listed above? Thanks.
There's several different ways to calculate HV. I outline the method I use for my calculation here: http://www.tradingvolatility.net/2013/01/free-historical-volatility-and-other.html
DeleteI use 252 to annualize, so that could be part of the difference.
"Chart data below is delayed 1 week. Subscribe to view current data." and deleting comments.
ReplyDeleteWeak. Very weak.
I'm sorry to hear that you're disappointed about the migration of the site to a subscriber service. The idea is that this will allow me to grow the site's capabilities to better serve its users.
DeleteIf there is something that I can do to improve the service for non-paying users, or if you would like to chat feel free to shoot me an email at jay@tradingvolatility.net. Thanks.
I don't mind migration to a fee based site. Your hard work deserves to be compensated. I do think you're overdoing it a bit, though, and should really give some thought to where you truly add value vs. where you're simply recycling content from other sites.
DeleteSorry if I was a bit blunt earlier.
Jay, quick question for you. You tweeted today that tomorrows expiration of VIX futures. Specifically that June front month is 15% above current vix price. What typically happens in these situations? Does VIX typically rise to that amount or do we see an effective reset with a corresponding drop? Thanks, great site, I am trying to figure out if I do enough with VIX instruments to sign up.
ReplyDeleteIt's typically a reset to start the next month in the roll period, with the front month gradually falling towards VIX. If the markets see turbulence and VIX rises, M1 will rise as well but usually a lesser amount. This behavior can be observed fairly well in the 6 month chart of closing VIX futures prices (above).
Delete