Known Exposure Vs. Market Size. There are also ways to use it as a contrarian signal for potential opportunities to fade a short term volatility spike. There is no difference in calculation. I do not hold myself out as a financial advisor and nothing herein is a solicitation for any fund or securities mentioned. Ticker Trading Ideas Educational Ideas Scripts People Today I'll unpack just one of them, but again I'm not overstating it when I say there are dozens of useful ways to interpret those data points. So in the last 8 years the VIX9D:VIX ratio doesn't often get below 0.80 or above 1.20, that's generally it's range. VIX3M  -  3-month forward implied volatility Because the VIX and VXX will tend to … The results are shown in Figure 2 (below). Those 5 data points are absolutely packed with useful volatility information. Now keep in mind there's no right or wrong way to use it, so get creative and think about ways it can apply to your own strategies. VIX is the symbol for the Chicago Board Options Exchange's volatility index. This upward sloping "cash VIX term structure" where the further we look out in time the higher the values are represent normal uncertainty. Â. It's just a statistic, calculated based off a strip of S&P 500 options. The only difference between VVIX and VIX is in the underlying of the options used for the calculation. 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? VCO vs SVXY Overlays the VIX Contango Oscillator over the SVXY. My answer assumes prior knowledge of the basic workings of the VIX index and futures contracts. The … They are also just statistical values based off S&P 500 options, which is why I call it the "cash" VIX term structure. Get historical data for the CBOE Volatility Index (^VIX) on Yahoo Finance. First I'll show how to calculate it because that's easy enough, and then after that we'll talk about what it means. VVIX vs. VIX Difference. Volatility indicator to watch: VIX9D : VIX : VIX3M : VIX6M : VIX1Y. The point today is, we need to look at a multitude of volatility metrics to base trade decisions on, not just the very narrow view of front month VIX futures contango. Nothing herein should be interested as personalized investment advice as I make no recommendations to buy, sell, or hold any securities or positions. 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. VIX is short for the Chicago Board Options Exchange Volatility Index. We know backwardation … Past performance is not indicative of future results. Spot VIX popped nearly two full vol points over Friday's close as we near the end of the Monday trading session. 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? * All information, analysis, and articles on this site are provided for informational purposes only. The three VIX ETFs, ranked according to 1-year trailing total return, are VIXM, VXX, and VIXY. Although I may answer general questions about the information herein, I'm not licensed or registered under security laws to address your personal investment situation. Nov 30, 2018 (blue) vs Dec 4, 2018 (orange). VIX1Y  -  1-year forward implied volatility, 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 directionless.  Â. If EMA > SMA it means the underlying is on the move right? 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. Now let’s match up this known exposure with the size of the entire market for VIX futures on the day in question: 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. One indicator that I particularly like, and one I've highlighted several times before is the relationship between all the various VIX style indexes of different time frames. The VIX9D is a 9-day statistical measurement, where as the VIX is a 30-day measurement. Both indices measure implied volatility of options with 30 days to expiration. 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. Clearly volatility was on the move in the first week of May 2019. * All information, analysis, and articles on this site are provided for informational purposes only. 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 … I'm making this website available "as is" with no warranty or guarantees of its accuracy, completeness, or current's. If it's below 1 it means the VIX9D is trading below the VIX. So this metric is just a ratio of the VIX9D value compared to the VIX index. Vix9d NG]4 % DV3 [l n FI. There are ways to view it as a trend following signal to help determine when it's time to move to safety. Yesterday, the 9-day Vol Index dropped from 14.68 to 9.83! The VIX is a range bound index (scale on the right side of chart) that stays between around 9 … If you rely on this website or any of the information contained, you do so entirely at your own risk. VIX on May 31, 2019: 18.71. 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. Any and all financial decisions are the sole responsibility of you the individual. VIX6M  -  6-month forward implied volatility This is why it's often referred to as the "cash" VIX. Well, if the exponential moving average reacts faster to recent data points, can you see why it would be useful to track the exponential moving average vs the simple moving average in a crossover signal? So, a statistical comparison would be more relevant. Add it to your arsenal of market indicators and I think you'll be better prepared to gauge what direction market participants truly believe we are heading going forward.  Right now, it's telling me we're still in yellow light caution range. The shape of the curve, the magnitude of each value, percentile rankings in relation to past periods, the differences between durations, their moving averages and momentum over time, where they are in relation to different expiration VIX futures, there's a wealth of information packed into the cash VIX term structure. This is why I call it the "fast crossover" signal, because the VIX9D reacts very quickly to movements in the underlying S&P 500 options market. This means the VIX9D reacts much quicker to movements in the underlying compared to the VIX. Days to expiration it means the underlying compared to the VIX arithmetic average... 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