Wednesday, July 15, 2009

VXX Volume Spiking to New Record as Investors Bet on Increasing Volatility

With volatility hovering around 25.00, investors are piling into the iPath S&P 500 VIX Short-Term Futures ETN (VXX) today. Just before 2:00 p.m. ET, VXX had already traded over 1 million shares and is well on the way to breaking the ETN’s volume record of 1,094,140, which was established on May 21st.

[source: BigCharts]

5 comments:

Anonymous said...

Hi Bill I am the Trading Nymph from Stockpickr...and I totally ID with playing catch up in the morning as a west coaster...so todays trend of the VIX up, along with the trend of the SPX just is telling us that the market is unsure what is going to happen in the near future?

Bill Luby said...

Hi Trading Nyhmph,

These type of divergences are fairly unusual and usually bode well for the bears. I'll do my best to have a post about this up before tomorrow's open.

Cheers,

-Bill

Anonymous said...

vix up on put hedges imo.as someone who is "short vol" through vix futures; i'm looking for spot vix to drop thursday even on a down day.

Douglas said...

Bill

Thanks for the reference back to your previous post on VIX and market up days. I read it again including my own comments below it. I wish I was better at remembering my own previous analysis. :-)

I think the thing that I noticed then was the a day with both implied volatility and the market going up together (by a lot) tended to be on days when the RSI(2) on the daily S&P 500 was >90... Something like that has happened again.

This may not be unrelated to why it is a little bit bearish in the short term - some bulls are scared of heights?

Douglas
PS I have not forgotten (though you may have) about what we said about a potential study on volume that I have in mind. I just have not got round to doing it yet - but it is on my 'to do' list.

Douglas said...

sorry - this comment of mine should be against post - 'Volatility Analysis for July 15'.

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