Its absolute value and percentile ranking of previous values is displayed in the Volatility Dashboard every morning in my blog. So just like with the exponential vs simple moving average analogy, tracking a VIX9D:VIX ratio and using it as a crossover signal can be telling. VIX Futures Term Structure Source: CBOE Delayed Quotes 22.700 22.700 24.450 24.450 25.330 25.330 25.450 25.450 25.730 25.730 25.850 25.850 25.810 25.810 25.880 25.880 22.55 22.55 24.94 24.94 20.02 20.02 26.73 26.73 22.32 22.32 9.18 9.18 12.79 12.79 18.90 18.90 Last Open Bid Ask High Low Previous Close VIX9D Index VIX … Term Structure and Volatility Indices on the S&P 500® Index Cboe Options Exchange offers these five gauges of expectations of future volatility based on real-time trading of S&P 500 options: the VIX9D Index (9-day volatility), VIX … Known Exposure Vs. Market Size. One of the most common tools that traders use in their technical analysis of the markets is a simple moving average (SMA). There are also ways to use it as a contrarian signal for potential opportunities to fade a short term volatility spike. While it's true the VIX futures are in contango again, albeit only moderately at around 3.5%, All of these products are measuring the same thing, just over different time frames. I do not hold myself out as a financial advisor and nothing herein is a solicitation for any fund or securities mentioned. While it's true the VIX futures are in contango again, albeit only moderately at around 3.5%, remember there are many other indicators that I track to gauge the pulse of market participants.  And in fact I would go a step further and say that the VIX futures aren't even in my top 5 as far as "go-to" indicators.  VIX futures are just a small part of a much larger puzzle. I'm making this website available "as is" with no warranty or guarantees of it's accuracy, completeness, or current's. After a long run of mostly quiet days, US equities (SPY, DIA, QQQ, IWM) are beginning off December with a moderate slump. It doesn't take much to see it cross over the VIX. Nothing herein should be interested as personalized investment advice as I make no recommendations to buy, sell, or hold any securities or positions. Another very common tool is an exponential moving average (EMA) which gives more weighting in the calculation to more recent occurrences. By very design and methodology, the VIX9D reacts to market movements faster than the VIX index does. It's just an arithmetic moving average, calculated by adding up the values and dividing by the number of occurrences. View stock market news, stock market data and trading information. VIX at the daily view. This upward sloping "cash VIX term structure" where the further we look out in time the higher the values are represent normal uncertainty. Â. The potential problem, as with any futures contract, is contango —that is, when the futures price for something is higher than its current price. So I'm not saying that won't happen, we'll be watching closely the next few days.  Maybe this "vol crush" is just slow getting started.  The fact that the S&P 500 is down -0.7% this morning, yet the VIX is flat, that's a good sign.  It means it'll take more than just small drops to rattle this market.  However we don't front run so we'll wait for confirmation of the signal before acting. At Yahoo Finance, you get free stock quotes, up-to-date news, portfolio management resources, international market data, social interaction and mortgage rates that help you manage your financial life. So predictably, a lot of people rushed in to fresh new positions thinking it was going to light a fire under the market and launch a nice rally into year end.  So what does the curve look like now, after all the dust has settled?  Is it back to normal? Past performance is not indicative of future results. Get historical data for the CBOE Volatility Index (^VIX) on Yahoo Finance. Article #560) Volatility Metric - VIX9D:VIX ratio (fast crossover), Even if you're relatively new to the VTS community, it doesn't take very long following my daily blogs before you're introduced to the, And, if you want to set aside some time for some light reading over the weekend, I've written articles specific to the cash VIX term structure, One of the most common tools that traders use in their technical analysis of the markets is a. VIX is the symbol for the Chicago Board Options Exchange's volatility index. I'm making this website available "as is" with no warranty or guarantees of its accuracy, completeness, or current's. For instance, if VIX is at 15 today, and a one-month VIX futures contract is trading at 16, then the VIX … View and download daily, weekly or monthly data to help your investment decisions. They are the markets expectation of future price movements in the S&P 500, based on S&P 500 options activity.Â, The higher the value, the more market participants expect the S&P 500 to move.  And that's in either direction remember, up or down.  The VIX, and all the various VIX style indexes only measure expected magnitude, not direction.  So while it's typically the case that when markets go up volatility goes down, that isn't necessarily true and there are times when they both move in the same direction.  So it's best to view the VIX style indexes as, Fast forward to today, the g-20 meeting came and went with very little substance, but the headlines were that a truce was struck in the ongoing US China "tariff war" if we can call it that.Â, Keep an eye on this VIX9D : VIX : VIX3M : VIX6M : VIX1Y relationship.Â. 2)  The magnitude:  See how the gap between the far left VIX9D and the far right VIX1Y is substantial?  On that day the VIX9D was 10.63 and the VIX1Y was all the way up at 17.  Under normal conditions we should expect more potential movement the further out in time we look, so a larger gap between VIX9D and VIX1Y is considered normal. TradingView. Now let's take a look at the S&P 500 over the same two month period, and I'll plot those two dates on the chart: SPX (S&P 500) from Apr 1, 2019 through Jun 4, 2019: Depending on how this signal was used, you can see there may have been some substantial S&P 500 downside avoided if a trader exited at a certain VIX9D:VIX crossover threshold. Calculating VIX is complex enough to border on being proprietary, but it is available on many quotation systems and on the exchange’s website.. I present this signal as an additional tool you can add to your trading toolbox. I had several questions yesterday about why we are not back into all our "bullish" trades like MDY stocks, SVXY, VXX puts etc.  The commonality I was hearing was that since the front two month VIX futures are back in contango now, that must mean we're all clear to go for it right? The VIX futures that the VXX is based on tend to move significantly less than the VIX percentage wise, although pretty much in time synchronization. There was a bullish RSI divergence, but that takes several days before it actually resolves … For example, it’s almost impossible to see where VXX outperforms $VIX (we know that it does, sometimes). So just like with the exponential vs simple moving average analogy, tracking a VIX9D:VIX … Just for some context, let's plot this relationship from a few days before this recent S&P 500 correction began.  A few months ago on September 21st, 2018 I would consider that to be a "normal" market. The above charts are illustrative, but don’t really make the proper comparison, because one is just comparing absolute values of the two, $VIX and VXX, with the naked eye. The VIX9D is a 9-day statistical measurement, where as the VIX is a 30-day measurement. * All information, analysis, and articles on this site are provided for informational purposes only. This means the VIX9D reacts much quicker to movements in the underlying compared to the VIX. Those 5 data points are absolutely packed with useful volatility information. The VIX … Now let's take a look at a plot from last Friday, just before the much anticipated G-20 meeting over the weekend: So clearly this isn't normal.  First, the shape isn't normal in that it's not a continuous upward sloping relationship.  Secondly, the magnitude isn't normal either because the gap between values is very tight, to the point where market participants are expecting as much movement over the next 9 days (VIX9D) as they are the next 1 year (VIX1Y). But why is this ratio even important? If you rely on this website or any of the information contained, you do so entirely at your own risk. Only energy stocks (XLE) are flashing green, and only minimally at that. So a 10-day simple moving average of the S&P 500 for example is just the most recent 10 days of prices divided by 10. VIX  -  30-day forward implied volatility The risks of VIX futures. The only difference between VVIX and VIX is in the underlying of the options used for the calculation. If you would like an introduction, please read my answer to How does the VIX index and its … Use this information in the best way you know how :). If VIX9D > VIX, all other things being equal it may mean volatility is moving higher recently. The VIX has spiked in 2020, rising 63% during the past 12 months. It's just a statistic, calculated based off a strip of S&P 500 options. Clearly volatility was on the move in the first week of May 2019. If VIX9D < VIX, all other things being equal it may mean volatility is more stable recently. I post the raw values of all 5 of them in every daily blog, their percentile ranking compared to all previous values, and I also show them plotted on a curve as well which looks like this: And, if you want to set aside some time for some light reading over the weekend, I've written articles specific to the cash VIX term structure here and here. Any and all financial decisions are the sole responsibility of you the individual. The chart below shows how VXX’s price has fared relative to the VIX. Volatility Funds vs the VIX. Vix9d NG]4 % DV3 [l n FI. Volatility indicator to watch: VIX9D : VIX : VIX3M : VIX6M : VIX1Y. This means the VIX9D reacts much quicker to movements in the underlying compared to the VIX. Yesterday, the 9-day Vol Index dropped from 14.68 to 9.83! Because the VIX and VXX will tend to … Ticker Trading Ideas Educational Ideas Scripts People If it's above 1 it means the VIX9D is trading above the VIX. 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