The market was pretty nervous today, but didn't seem too panicky. I was wishing I had been a little less demanding on closing out my bear VIX spread. I have a GTC order in with a debit of .10 that probably came within a few cents of filling a few days ago. If I had settled for .15 I would have been out with 66% of my maximum profits. Then I could have gotten back in at least a credit of .30. Oh well, it is always so easy in retrospect.
I like to monitor the minute by minute intra-day charts of SPY, VIX, and VXX. It feels like the volatility indicators add a third dimension of visibility into the market. Not only can you see the price movement over time, with the VIX you can see the nervousness of the market in real time too. The VXX, being driven by the VIX futures feels more like the medium term view--the trader view, rather than the emotional gauge.
It would be interesting to know primary and secondary forces driving the moves in VIX on a day like today. My guess is that the main driver increasing the VIX on nervous/ strongly down days like this is demand for protective puts, and secondarily arbitrage, or just market maker compensation on the call side. I wonder if anyone has ever figured out how to get data on this topic.
Thursday, November 12, 2009
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2 comments:
I use to monitor the minute by minute intra-day charts VIX and VIX Fut.
I'm working (via CDF Igmarkets.com) on VIX fut...Friday I shorted @24.85 until 24.30...I could be wrong but the IT trend (now) is UP..feeling little bit nervous the day before roll-over..so I'll wait until 18th Nov to build a IT long position on VIX.
My 0.5:
down before the roll-over just to test the 23.5 area on Fut
http://www.flickr.com/photos/valeriobr/4102287351/
...and a daily on Ms VIX : (she drive me crazy...)
http://www.flickr.com/photos/valeriobr/4103051742/
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