Yo Pit Crazies,

If you want to jump on one of the hottest products in options, look no further than Mark and Voz in Trade to Close.  Here’s the full replay from last night’s event.

I mentioned in the Pit Stop today that I dumped some calls in VIX in the November cycle.  I did that early this morning. Mark and I were in the Trading Desk and really the market looked listless trying to decide what to do.

I like VVIX, or the Volatility of VIX, as an indicator because that is what folks are paying for changes in VIX itself.  Or think of it as how likely is VIX going to move.

10-day chart of VVIX

It got to a very interesting point so let’s discuss.

VVIX is the VIX calculation on the VIX options

Instead of using the VIX methodology on the SPX options to create VIX, the Cboe uses the methodology of VIX options themselves to create an index.  Usually, the Maginot Line for volatility in VVIX is 100.  VVIX over 100 the market is definitely paying up and SPX is wooly…  VVIX gets as low as the mid-70s and is probably the best long volatility buy signal there is.

1-year VVIX chart with 1-day candles

As you can see above, VVIX topped out at 105 in line with some of the other SPX sell-offs this year save for the more systemic bank failures in March. For now, higher rates are a given and the market is adjusting to how high that is.  Close-to-close volatility is still pretty low in SPX at 12.64%.  Very few market sell-offs take root.

Unless there is some nasty surprise this selloff should not last long and it would not surprise me to see a very slow grind higher, not seeing 4500 until early winter.  That will be a real VVIX killer.  Look for Mark and me to take up a longer-term short VIX position in the Trading Desk today.

Don’t forget our 2x Long VIX future ETF (Ticker: UVIX) special coming up around the split.

To your trading success,

AG