BY ANDREW GIOVINAZZI
August 7, 2024
Yo Pit Crazies,
One thing I did not expect today was the VIX Aug futures dropping 10 points from the close. Maybe a few points but was it really close to 10 points? Yes it was. Volman is already getting over the 30 point drop in VIX from Monday to Tuesday but are they really crushing it that much?
Into the close on Tuesday traders are just deciding how far down to take VIX. After all on Tuesday SPX was over up 2% at one point. That is still a 32% volatility of the day. What that means is traders are aggressively discounting SPX ranges already.
There is a trade for that and I will give you the Tipping Point!
Follow me.
VIX has spent all of 2 days closing in Zone 4
In Backwardation time, 2 days is nothing. I added a Riff Trade in the Trading Desk that was short short term SPY and short 2 week VIX. It is hard to believe we dont get one small selloff between now and Friday.
But we might not.
9 Day VIX is getting very close to VIX. At one point yesterday this indicator was 30 points apart and it is just over 1 point. If it gets to even, VIX has a real chance of dropping to 20 in a hurry and still staying in the middle of Zone 3.
When VIX9D < VIX usually a bullish SPX signal short term
I think we will see that this week since we do not need a market rally for VIX to drop. It can just go nowhere or start to reduce the daily ranges.
Friday close to Monday close was 5342 to 5181 or 161 points or appox. 48 VIX
Monday close to Tuesday near the close was 5181 to 5263 or 82 points or approximately 28 VIX
The close to close numbers are getting smaller very fast.
That is why VIX plummeted so we will see more range compression on Wednesday. SPX can still do 80 points and run a lower VIX number.
The VXX trade is getting closer.
To Your Trading Success,
AG
Andrew Giovinazzi
30-Year Trading Pro
See what's hot at option pit
CAPITOL GAINS: SMR Aug16 7 call closed for a 150% gain
DELTA STRIKE: VLY Mar15 8 puts closed for a 88% gain
PFE May17 26 calls closed for a 66% win
OP MENTORING: SPY Mar22/19 510 put calendars and 520 calls for 6.4% gain
OPTION SHOPPER: ERX Mar28 65 calls closed for a 90% gain