NaughtyPines

WATCH FOR CYCLICAL MID-MONTH VOLATILITY POPS

CBOE:VIX   Volatility S&P 500 Index
Although this is a rather unscientific examination of potential VIX             cyclicality, mid-month volatility pops have occurred in 11 out of the last 17 months, with 6 of those months displaying no significant pop, and only two prior occurrences of us having two months in a row where we didn't really have a significant pop, one of which occurred in April and May of last year and two of which just occurred. (One possibility as to why we didn't have much of pop in March may have something to do with the fact that we were falling off a mid-Feb volatility precipice of +30 and traders could only see volatility fading from there).

Naturally, I'd like to go back eons to see if this really is "a thing," but my guess is that it probably is, and it's for one simple reason -- monthly options expiries or "opex", which always occur in the middle of the month. Unfortunately, there isn't necessarily a whole lot you can do trade wise with this information besides considering bailing on a long volatility play mid-month to take advantage of this cyclicality ... . It's likely a slippery slope down to a trough from there ... .
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