Options Expiration… VIX Indicator

#OptionsExpiration #VXXGame
Only one #Assignment, my final $SVXY 90 put

#VIXIndicator — The VIX is reacting strongly to the upside at any sign of volatility. Although we spent the morning in cancelation territory, the Mueller spike sent up back above 19.00. So although we’ve been steadily rising, volatility is still hanging around.

Downside?

#VIXIndicator, well we never got the Downside Warning cancellation…. 2700 seems like a good place to pause as traders still wary after the tumult. I remain bullish for now, but we’ll see what the afternoon brings.

Sold $SPX March 15th 2500/2475 put spreads for 1.60.

VIX Indicator

#VIXIndicator fired an additional SIX warnings today, which is a record for a single day as far back as 2000 (which is the extent to which I’ve measured).

It was the highest level the $VIX has reached since August 2015, and the highest close since October 2011.

Although it was the biggest ever single-day point drop on the DOW, it was only the 33rd biggest percentage drop.

A VIX close below 15.30 would signal the Warning is over (that number will change if we get a new VIX high). But the bottom will occur several days before that signal; the indicator is working well but it can’t pick a bottom!

VIX Indicator and market

#VIXIndicator We got another warning signal today, as VIX closed over 25% above yesterday’s close. The indices ended the day at lows… Monday could be either a big gap down, which may signal the end of the correction, or a bounce, which probably means it should be faded. Either way, I am net short in SPX spreads.

Downside Warning triggered

#VIXIndicator Looks like the official $VIX close is 13.84 (also high of the day), which is over 50% higher than the Dec 20th low of 8.90. This activates a Downside Warning, leading to a likelihood of lower prices in the coming days or weeks. Downside Warnings can sometimes be false flags, but most often the are followed by subsequent dips or corrections, either immediately or in the coming days. It also means any bounce this week is more likely to be followed by a drop next week.

Since I recently revised this trigger to be based on closing VIX prices rather than intraday, I am still compiling data for the last 18 years. I may be able to post some more details today, but feel free to ask any questions if you have them.

Downside Warning?

#VIXIndicator A close above 13.35 would trigger one. Looking to close some put spreads to take some risk off.

Upside Warning canceled

#VIXIndicator The VIX just exceeded 25% above the 2-day closing low, so that cancels the Upside Warning. Under my revised rules, we do not get a downside warning unless we close above 12.35.

In recent months these spikes intraday have been bought. I have no reason to feel this would be different, provided we get the normal afternoon bounce. It was a beautiful morning as I had 3 put spreads close for pennies. If we find a low and bounce, I will be looking for more positions to get long the market.