Friday, May 22, 2009

Big Intraday Surge in VIX While SPX Treads Water

While I tend to shy away from talking too much about intraday moves in the VIX, today has been an unusual day in the VIX.

First, for most Fridays and particularly before long weekends, you should expect the VIX to be (a little more than 1.0%) lower than usual due to what I refer to as calendar reversion, when options are repriced with the assumption of lower volatility in advance of several non-trading days.

As I type this the VIX is almost flat, while all the major indices are in the green.

What is particularly interesting, however, is how the VIX has surged since about 1:00 p.m. ET. In the one minute intraday chart below, note the steady rise in the VIX over the course of the last hour or so, while the SPX has essentially moved sideways.

The action in the VIX could portend a rocky last hour or two or perhaps indicate that traders are becoming more concerned about holding long positions over the holiday weekend. Keep an eye on the VIX – and the weakness in real estate (IYR) and financials (XLF).

[source: BigCharts]

Disclosure: Short XLF, IYR and long VIX at time of writing.

5 comments:

Charts and Coffee said...

good call.

Andy said...

Next weeks GM headlines will be unnerving to the marginal buyer of equities.

Frank said...

Bill,

the session immediately following Memorial Day is -from the market's history point of view- the session with one of the highest probabilities for a higher open/high/low/close and magnitude of change on the upside as well.

If you're interested in, I just published a post concerning this finding.

Best,
Frank
http://tradingtheodds.wordpress.com/

Frank said...

Sorry, I forgot to mention that this applies to the VIX, not the major market indexes ...

------------

Bill,

the session immediately following Memorial Day is -from the market's history point of view concerning the VIX- the session with one of the highest probabilities for a higher open/high/low/close and magnitude of change (of the VIX) on the upside as well.

If you're interested in, I just published a post concerning this finding.

Best,
Frank
http://tradingtheodds.wordpress.com/

Anonymous said...

Good call indeed.

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