• Tag Archives VIX
  • 2017: A Record Smooth Ride For Stocks

    As measured by the VIX, stocks have never enjoyed a less volatile year than 2017.
    Undoubtedly the most notable phenomenon of 2017 was the extremely smooth ride enjoyed by U. S. stocks – unprecedented, in fact. One way to measure just how smooth (or volatile) the market was is by looking at the readings of stock volatility expectations, in this case the S&P 500 Volatility Index, aka, the VIX. And based on VIX readings, 2017 was the least volatile year ever in the stock market.
    Specifically, the average daily closing price of the VIX in 2017 was 11.10 (through 12/26/17).

    This post was published at Zero Hedge on Thu, 12/28/2017 –.


  • One Bank Is Unsure If Any Humans Still Trade Stocks In Japan, Or Have All Moved To Bitcoin

    While the wholesale disappearance of retail traders from stock markets is hardly a novel observation, it has taken on a whole new meaning in Japan, where the lack of carbon-based investors has prompted Deutsche Bank to ask if “Japan’s stocks are still traded at all by humans.”
    As Deutsche strategist Masao Muraki writes, since the US presidential election, Japanese stocks (in this case the TOPIX index) have been almost entirely defined by just three things: US stocks (S&P 500), the implied volatility (VIX), and USDJPY. This is shown in the model correlation chart below.

    This post was published at Zero Hedge on Dec 26, 2017.


  • “Suspense Mounts” – Timing Of Tax-Reform Votes In Limbo As More Senators Get Cold Feet

    With Bloomberg writing this morning that “Mystery, Suspense Mount” two days after President Donald Trump told the American public that Congress was ‘just days away’ on tax reform, two more senators – including one-time Trump rival – Marco Rubio appear to be getting cold feet – much to the market’s chagrin. Yesterday afternoon, stocks dropped and the VIX jumped above 10 as Rubio and Utah’s Mike Lee said they had reservations about the draft bill being put together by the conference committee.
    Worries about the bill’s impact on the deficit have persisted, and if anything, they only intensified after the Treasury Department released a laughable one-page report about the tax plan’s impact on GDP and revenue that was widely ridiculed.
    As the fast-moving Republican tax package has evolved, it has tilted increasingly toward benefiting businesses and wealthy taxpayers, a trend that aides were saying privately is a growing concern for some lawmakers. Provisions for offsetting the revenue costs of last-minute changes also were becoming worrisomely unclear, they said.

    This post was published at Zero Hedge on Dec 15, 2017.


  • European, Asian Stocks Slide But US Futures Rebound As Tax Deal Fears Ease

    U. S. equity index futures point to a higher open, having rebounded some 10 points off session lows with the VIX stuck on the edge between single and double digits, while European and Asian shares decline as investors assess central banks’ shift toward tighter monetary policy and concern over tax overhaul ahead of final plan.
    It has been a groggy end to what is still set to be a third week of gains for MSCI’s global stock index following more upbeat data and signs that central banks including the Federal Reserve will keep treading carefully with interest rate hikes.
    On Thursday, US stocks closed 0.41% lower after Republican Senator Rubio said he intends to oppose the tax bill as written unless there was a larger child tax credit (currently $1,100). He said GOP leaders ‘found the money to lower the top (individual tax) rate’, but ‘can’t find a little bit’ more to help working class parents raising children. However, later on, President Trump said he is ‘very sure’ Mr Rubio will vote yes. So still lots of potential changes here before the bills gets voted by the Senate, potentially as soon as Monday, although on Friday, US equities appears sanguine about the risks and have faded most of Thuesday’s weakness.

    This post was published at Zero Hedge on Dec 15, 2017.


  • Attention Derivatives Traders: Here Are “The Top 17 Themes To Remember From 2017”

    Last week, as part of its must read 2018 Outlook piece, Bank of America’s derivatives team pointed out two particularly notable things: the first was BofA’s version of the (central-bank mediated) “feedback loop” diagram that keeps volatility record low and grinding even lower, as selling of vol has become a self-reinforcing dynamic, in which lower VIX begets more vol-selling by “yield-starved investors”, leading to even lower VIX as the shock that can reset the feedback loop is no longer possible, and thus the strike price on the Fed’s put can not be put to a market test, which also results in even greater market fragility and assured central bank interventions…

    … and a chart suggesting that the market generally broke some time in 2014, when the “behavior of volatility entirely changed, with volatility shocks retracing at record speed. Investors no longer fear shocks, but love them, as it is an opportunity to predictably generate alpha.”

    This post was published at Zero Hedge on Dec 12, 2017.


  • These Are The 30 Biggest Risks Facing Markets In 2018

    Once upon a time, Wall Street analysts had just two things to worry about: interest rate risk and corporate profits – virtually everything else was derived from these. Unfortuantely, we now live in the new normal, where central banks step in every time there is even a whiff of an imminent market correction (as BofA explained last week), and the result is that nobody know what is and what isn’t priced into the market any more, simply because the market in the conventional sense of a future discounting mechanism no longer exists (as Citi explained earlier this summer).
    Which is why, paradoxically, even as the VIX slides to record lows, the number of things to worry about on Wall Street grows longer and longer. In fact, according to Deutsche Bank’s Torsten Slok, there are no less than 30 material risks investors should beware in the coming year, ranging from a U. S. equity correction to a reversal of Brexit to Irish presidential elections, to a “Bitcoin crash,” rising inflation, danger from North Korea and results from special counsel Robert Mueller’s probe.

    This post was published at Zero Hedge on Dec 10, 2017.


  • Volatility Traders Suddenly Scared Of (Stock) Heights?

    Via Dana Lyons’ Tumblr,
    Despite the S&P 500’s jump to new all-time highs, trading in the short-term volatility market is signaling elevated levels of fear.
    We mentioned yesterday that some strange developments were afoot in the stock market lately. Well, the strangeness continued through yesterday’s market action. Today we look at unusual activity in the volatility market – specifically, in the S&P 500 Short-Term Volatility Index, a.k.a., the VXST. Similar to the VIX, the VXST measures volatility expectations over the next 9 days, versus the VIX’s duration of 1 month. And like the VIX, the VXST typically moves counter to the movement of the S&P 500 (SPX). That hasn’t been the case this week.

    This post was published at Zero Hedge on Dec 2, 2017.


  • Flynn Flush Rescues ‘VIX Elephant’ As ’50 Cent’ Backs Up The Truck

    The ‘VIX Elephant’ has awakened. And ’50 Cent’ is back.
    That’s the mysterious-sounding ointroduction to a notable market insight from Bloomberg this mornig as they note the turmoil surrounding Mike Flynn headlines – spiking VIX and slamming stocks – provided two big options market ‘whales’ with some relief and room to move…
    First, the trader who’s known as the Elephant for making big moves in the VIX — but who’s been surprisingly quiet in recent weeks — returned with a vengeance to start December, buying and selling more than 2 million contracts Friday to continue betting on a modest rise in the Cboe Volatility Index. That’s three times the average daily volume for all VIX options.
    The Elephant caught a major break thanks to the sharp retreat in the S&P 500 Index following reports that former national security adviser Michael Flynn would implicate members of President Donald Trump’s transition team in the probe into Russian meddling in the 2016 election. The VIX spiked to as high as 14.58 as equities tumbled.
    Pravit Chintawongvanich, head of derivatives strategy at Macro Risk Advisors, said the investor had been poised to lose $20 million to $30 million on the December leg of this trade before Friday, but was able to escape with a loss of less than $2 million in closing up those positions.
    ‘They got really lucky with the selloff today,’ Chintawongvanich said.
    ‘They were down a lot on the December position, and this allows them to get out of it without too much of a loss.’

    This post was published at Zero Hedge on Dec 1, 2017.


  • 29/11/17: Four Omens of an Incoming Markets Blowout

    Forget Bitcoin (for a second) and look at the real markets.
    Per Goldman Sachs research, current markets valuation for bonds and stocks are out of touch with historical bubbles reality: As it says on the tin,
    ‘A portfolio of 60 percent S&P 500 Index stocks and 40 percent 10-year U. S. Treasuries generated a 7.1 percent inflation-adjusted return since 1985, Goldman calculated — compared with 4.8 percent over the last century. The tech-bubble implosion and global financial crisis were the two taints to the record.’
    Check point 1.
    Now, Check point 2: The markets are already in a complacency stage: ‘The exceptionally low volatility found in the stock market — with the VIX index near the record low it reached in September — could continue. History has featured periods when low volatility lasted more than three years. The current one began in mid-2016.’

    This post was published at True Economics on Nov 29, 2017.


  • Momo Massacred, Semis Slaughtered After Topping 2000 Peak, Nasdaq ‘VIX’ Spikes

    CNBC busily defending the utter bloodbath in semi stocks as nothing to worry about… but this is the biggest plunge for these market darlings since Brexit (June 2016)…

    …and just happens to have occurred as the index finally cleared the 2000 dotcom peak…

    This post was published at Zero Hedge on Nov 29, 2017.


  • US Futures, World Stocks, Bitcoin All Hit Record Highs

    US equity futures continued their push higher into record territory overnight (ES +0.1%), and the VIX is 1.5% lower and back under 10, after yesterday’s blistering surge in US stocks which jumped 1%, the most since Sept. 11, following Powell’s deregulation promise, ahead of today’s 2nd estimate of U. S. Q3 GDP which is expected to be revised up. U. S. Senate Budget Committee sent the tax bull to the full chamber to vote, and on Wednesday Senators are expected to vote to begin debating the bill. It wasn’t just the S&P: MSCI’s all-country world index was at yet another record peak after all four major Wall Street indexes notched up new highs on Tuesday. Finally, completing the trifecta of records, and the biggest mover of the overnight session by far, was bitcoin which topped $10,000 in a buying frenzy which saw it go from $9,000 to $10,000 in one day, and which is on its way to rising above $11,000 just hours later.
    In macro, the dollar steadies as interbank traders and hedge funds fade its rally this week; today’s major event will be testimony by outgoing Fed chair Janet Yellen after Powell said there is no sign of an overheating economy; the euro has rallied on strong German regional inflation while pound surges on Brexit bill deal news; yields on 10-year gilts climb amid broad bond weakness; stocks rise while commodities trade mixed.
    In Asia, equity markets were mixed for a bulk of the session as the early euphoria from the rally in US somewhat petered out as China woes persisted (recovered in the latter stages of trade). ASX 200 (+0.5%) and Nikkei 225 (+0.5%) traded higher. Korea’s KOSPI was cautious following the missile launch from North Korea, while Shanghai Comp. (+0.1%) and Hang Seng (+-0.2%) initially remained dampened on continued deleveraging and regulatory concerns before paring losses into the latter stages of trade. Notably, China’s PPT emerged again with Chinese stock markets rallied in late trade, with the CSI 300 Index of mainly large-cap stocks paring a drop of as much as 1.3% to close 0.1% lower. The Shanghai Composite Index rose 0.1%, swinging up from a 0.8% loss, with property and materials companies among the biggest gainers on the mainland. The Shanghai Stock Exchange Property Index surged 3.8%, the most since August 2016. The Shenzhen Composite Index was little changed, after a 1.2% decline, while the ChiNext gauge retreated 0.4%, paring a 1.5% loss. In Hong Kong, the Hang Seng Index was little changed as of 3 p.m. local time, while the Hang Seng China Enterprises Index fell 0.3%Stocks in Europe gained, following equities from the U. S. to Asia higher as optimism over U. S. tax reform and euro-area economic growth overshadowed concerns about North Korea’s latest missile launch. The Stoxx 600 gained 0.8%, reaching a one-week high and testing its 50-DMA. Germany’s DAX, France’s CAC, Milan and Madrid were all up between 0.5 and 0.7% and MSCI’s all-country world index was at yet another record peak after all four major Wall Street indexes notched up new highs on Tuesday. ‘It seems to me markets are still trading on the theory that the glass is half full,’ said fund manager Hermes’ chief economist Neil Williams.

    This post was published at Zero Hedge on Nov 29, 2017.


  • Did The ‘Short VIX’ Bubble Just Burst?

    If there is one foolproof way to make money in today’s markets, it’s selling any and every blip higher in volatility – in fact it’s so easy a Target manager can do it and make millions. However, something very different happened last week…
    3 of the 4 trading days last week saw SVXY fund outflows with Wednesday the largest single-day outflow in history…
    The Short VIX ETF SVXY, up more than 150% this year amid a slump in equity swings, lost almost $330 million in four days – the biggest weekly outflow in history…

    This post was published at Zero Hedge on Nov 27, 2017.


  • Citi’s Shocking Admission: “There Is A Growing Fear Among Central Bankers They’ve Lost Control”

    Earlier we showed a variation on a VIX chart from Citi’s Hans Lorenzen which, if it doesn’t impress, or scare you, then nothing probably will.
    ***
    However, leaving readers unimpressed – and unscared – will not satisfy Lorenzen, which is why the credit strategist who works together with the godfather of rational doom, Matt King, and has been warning for weeks that now is the time to sell credit, unloads in one of the more effusive missives of dripping negativity to hit during this holiday week when one after another equity sellside analyst has been desperate to outgun each other with their ridiculous 2018 year end S&P forecasts.

    This post was published at Zero Hedge on Nov 25, 2017.


  • Muir: “People Are Going To Be Wiped Out” By Short-VIX ETFs

    Back in August, we highlighted a story in the New York Times about a former manager at Target who decided to try day trading with $500,000 he had saved up. Over the following years, he turned that into $13 million by following one simple strategy: Shorting volatility every time it spiked.
    As MacroVoices host Erik Townsend points out, that strategy has worked for many retail investors over the past eight years. And in a brief ‘postgame’ interview with the Macro Tourist Kevin Muir following a longer interview with Francesco Filia, a fund manager at Fasanara Capital, the former explains how many investors don’t understand the risks associated with shorting volatility, as well as the possible repercussions if exchanges and brokerages don’t take the appropriate steps to limit this.
    Townsend begins the discussion by asking Muir about a chart he created of the VXX – the long-VIX ETF – which, because of the low-volatility environement, has repeatedly split leading to unbelievable wealth destruction.

    This post was published at Zero Hedge on Nov 25, 2017.


  • “You Are Here”: Citi’s Stunning VIX Chart

    Something snapped in the VIX complex, seconds after Friday’s early close, sending it to a new record low of 8.56 at 13:00:14 ET…
    ***
    … which as we showed yesterday, was less than 10% of the all time VIX high of 89.53, hit on October 24, 2008.
    ***
    However, while the Friday VIX snap – which is still on the feeds and thus wasn’t a fat finger error – is yet another indication of just how broken, and/or how overrun by vol sellers the market is, below we present two even more striking, longer-term perspectives on the VIX courtesy of Citi.

    This post was published at Zero Hedge on Nov 25, 2017.


  • The Source Of The Next Crisis

    Authored by Kevin Muir via The Macro Tourist blog,
    In 1992, the CBOE hired Robert Whaley to develop a tradeable volatility product on equity index option prices. A year later, in 1993, the VIX was born when the CBOE started publishing real-time quotes on the implied volatility of the calculated S&P 500 index options. In those early days, I very much doubt Robert ever imagined his volatility index would someday be the cornerstone of some of the world’s most actively traded ETFs. In fact, for the next decade, no VIX instruments traded at all, and it wasn’t until 2004 that the VIX future was listed. And then, it took another five years before the first ETF based on those futures hit the exchanges. But what a ride it’s been.
    Nowadays, everyone knows the VIX index. It’s no longer some arcane index reserved for derivative traders, but instead a highly liquid, easily traded way to bet on future implied volatility. And I doubt most participants realize that last part. They are not betting on current volatility. They are not betting on future volatility. They are betting on future implied volatility. Remember that point. It’s important. We’ll come back to it later.

    This post was published at Zero Hedge on Nov 23, 2017.