Portfolio manager with momentum and vol strategies. Also hack guitar player who sings. Tweets/RTs are not investment advice. You need to do your own work!!
Might just be a blip, but it's usually not a good thing when the ratio of $VIX:$VIX3M (green) goes above ratio of $VIX3M to $VIX6M (red). It was a particularly useful tell July 2024.
Update on cross-asset conditions. $SPX has bounced but the high yield market (using cume advance-decline) has not followed. This is a condition to 👀, not a trade signal. h/t @McClellanOsc
One measure of VIX futures slope is VX30 (constant maturity VIX futures) to spot $VIX. We're sitting at the 96th percentile of that spread. It can hang out here for a while but it can't get much better FWIW.
So many things to see today. I use 3 ratios from @Cboe term structure: VIX9D:VIX, VIX:VIX3M & VIX3M:VIX6M. Not often that all three are > 1. Very rare to have two in close proximity. But the steamroller is on the loose, so be careful out there.
Volatility recap. $VIX went up really fast last week. $VIX came back down really fast this week. Many people on Twitter telling you what that means. Truth is none of them has a clue. Feel free to unfollow me. 😁
Looking at the $VIX term structure using @CBOE vol indices. Spread between $VIX6M and $VIX set a new record on Friday. Near-term vol and longer-term vol telling two different stories. Big week ahead with VIX expiration and OPEX. 👀
