One to watch in the coming days...
In the past a break down of these VVIX/VIX trendlines is generally followed by a market crash.
VIX measures the short-term volatility of the S&P 500 index, whilst VVIX measures the volatility of the price of the VIX. In other words, VVIX is a measure of the volatility of the S&P 500 index and alludes to how quickly market sentiment changes.
A closer view of VVIX/VIX correlation since 2020 crash - I will grow more concerned below the October 2021 double bottom at 4.66
This recent downturn has been fueled by the new covid variant Omnicron, but also more recently by the FED's comments about increasing the pace of tapering. The latter poses longer lasting risks to the markets.
On the flip side - percentage of stocks below 20-day average metrics are at extreme oversold levels and it is not unreasonable to expect a relief rally here - but the real questions are how long this lasts, how the longer average metrics develop, and how VVIX/VIX correlation plays out over the coming days
In the past a break down of these VVIX/VIX trendlines is generally followed by a market crash.
VIX measures the short-term volatility of the S&P 500 index, whilst VVIX measures the volatility of the price of the VIX. In other words, VVIX is a measure of the volatility of the S&P 500 index and alludes to how quickly market sentiment changes.
A closer view of VVIX/VIX correlation since 2020 crash - I will grow more concerned below the October 2021 double bottom at 4.66
This recent downturn has been fueled by the new covid variant Omnicron, but also more recently by the FED's comments about increasing the pace of tapering. The latter poses longer lasting risks to the markets.
On the flip side - percentage of stocks below 20-day average metrics are at extreme oversold levels and it is not unreasonable to expect a relief rally here - but the real questions are how long this lasts, how the longer average metrics develop, and how VVIX/VIX correlation plays out over the coming days
Comment:
Have added a second slightly lower trend line on VVIX/VIX fyi
Weekly VVIX/VIX broke the first but holding above the second lower TL
VIX and VVIX showed no signs of topping today and into the end of week - VVIX almost at new 2021 high - but mindfull SPX may have found some support on 100dma for now
Weekly VVIX/VIX broke the first but holding above the second lower TL
VIX and VVIX showed no signs of topping today and into the end of week - VVIX almost at new 2021 high - but mindfull SPX may have found some support on 100dma for now
Comment:
VIX got crushed today - down almost 20%...
Crash cancelled - end of the world postponed
Mindful of possible bounce on wedge backtest and FOMC next week - but I think it's fairly safe to say lows are until year-end and we will have a Santa Claus rally
Crash cancelled - end of the world postponed
Mindful of possible bounce on wedge backtest and FOMC next week - but I think it's fairly safe to say lows are until year-end and we will have a Santa Claus rally
Comment:
VVIX/VIX trendline has broken again and this time recent lows (early Oct-2021 and late Nov-2021) broken too
VIX and VVIX are flying - with VIX almost above Oct 2020 highs
VXN (Nasdaq volatility) similar
VIX and VVIX are flying - with VIX almost above Oct 2020 highs
VXN (Nasdaq volatility) similar
Comment:
Update 1st March 2022:
VVIX/VIX ratio continues to drop (i.e. S&P volatility is rising quicker than VIX volatility):
The S&P500 has now seen a correction of 14.86% (from last ATH to 4104.1 on last thursday 24th Feb, the day Russia invaded Ukraine) - note the below is a line chart of SPX so only shows price action on daily closing basis
Based on previous VVIX/VIX collapses I don't think it's unreasonable to expect a 20% correction on the S&P500. There is a chance this takes several weeks to play - given the ongoing geopolitical conflict - but especially given FED rate hikes in coming months (some suggest increased likelihood of FED delaying any rates hikes, previously expected to start in March 2022, given current events).
Other view of SPX/VIX/VVIX side by side:
VIX and VVIX have broken out today (on daily closing basis) - tbh I was expecting divergence to resolve in the other direction, especially given SPX daily bullish divergence with various indicators (RSI, MACD histogram, slow stochastics, ADX) - but we are in a bear market and coupled with continued Russian escalation we could be in for an ugly week / few weeks...
Trade carefully these days...
VVIX/VIX ratio continues to drop (i.e. S&P volatility is rising quicker than VIX volatility):
The S&P500 has now seen a correction of 14.86% (from last ATH to 4104.1 on last thursday 24th Feb, the day Russia invaded Ukraine) - note the below is a line chart of SPX so only shows price action on daily closing basis
Based on previous VVIX/VIX collapses I don't think it's unreasonable to expect a 20% correction on the S&P500. There is a chance this takes several weeks to play - given the ongoing geopolitical conflict - but especially given FED rate hikes in coming months (some suggest increased likelihood of FED delaying any rates hikes, previously expected to start in March 2022, given current events).
Other view of SPX/VIX/VVIX side by side:
VIX and VVIX have broken out today (on daily closing basis) - tbh I was expecting divergence to resolve in the other direction, especially given SPX daily bullish divergence with various indicators (RSI, MACD histogram, slow stochastics, ADX) - but we are in a bear market and coupled with continued Russian escalation we could be in for an ugly week / few weeks...
Trade carefully these days...
Trade active:
I believe another big leg down in global markets is now underway - see latest idea
VVIX/VIX has just breached March 2022 lows...
Today saw a BIG break down across all risk assets, following Jay Powell's speech at Jackson Hole stating the FED will 'keep at it' in a hawkish speech - some key statements are included below:
"Reducing inflation is likely to require a sustained period of below trend growth. (...) While higher interest rates, slower growth, and softer labor market conditions will bring down inflation, they will also bring some pain to households and businesses. These are the unfortunate costs of reducing inflation. But a failure to restore price stability would mean far greater pain."
"Restoring price stability will likely require maintaining a restrictive policy stance for some time."
VVIX/VIX has just breached March 2022 lows...
Today saw a BIG break down across all risk assets, following Jay Powell's speech at Jackson Hole stating the FED will 'keep at it' in a hawkish speech - some key statements are included below:
"Reducing inflation is likely to require a sustained period of below trend growth. (...) While higher interest rates, slower growth, and softer labor market conditions will bring down inflation, they will also bring some pain to households and businesses. These are the unfortunate costs of reducing inflation. But a failure to restore price stability would mean far greater pain."
"Restoring price stability will likely require maintaining a restrictive policy stance for some time."
Related Ideas
Current price action on VIX / VVIX shows resistance becoming support in the descending trendline from 2021 highs