Originally Posted by Vanity
Just happened to click the thread and saw my name! After the +10 move in SPX yesterday I exited my vol short position. I was expecting a dip today but I don't think anyone saw -20 SPX points today. Here's the kicker. Today the index lost -1.25% but cash VIX popped 19%. Not sure if you're familiar with vol but that is much too high of a jump. Usually correlated around +5-9% on the spot VIX when the index sells off 1% like this. Instead, we saw +19% which means we either go to hell tomorrow to justify this VIX pop (another -20 point day) or this vol is coming down. Here's a fact though: 10% of the VIX call volume was from ONE very large trader. This trader SOLD his long vol positions into the close today, which tells me even he realizes this was overdone today. I am short fol as of the close of the index. XIV @ $21.98. Time stamped.
Vol would agree with you. If we get a flat to up day tmr, $vix could drop 6-12%, driving down futures by a lesser amount (probably 4-8%). This would hurt the most people. We would run up again, make a second lower high and then kaboom (possibility). $vix spike might have just been a warning flare, not the actual Calvary yet.
P.s. never touch TVIX, the vehicle does not track it's NAV correctly and will piss you off trying to capitalize on VIX spikes. Go with VXX. Never touch 2x Vix etfs unless you seriously want to not be able to cover your losses when it goes down.
After the selloff from 1530 to 1500, we indeed got our bounce back rally to 1526 (the lower high I discussed), before coming down much harder to 1480. Yesterday we saw more of the same in the VIX, exceptionally high moves in VIX that over exaggerated the downswing in the SPX. We got exceptional record breaking call activity in the VIX as well. Historically, you'd win 85% of the time shorting large VIX call volume. My original position in XIV at $21.98 was averaged down into the low 18's while I played VXX and UVXY yesterday. I held XIV overnight and today has seen that bullish bet pay off.
VIX calls are getting crushed. $VIX is retracing roughly 60% of its move up. I'm up +50% on my portfolio this week. Just this week. Great week! Not sure if anyone here is listening. I do make my posts very micro-detailed, if anyone was reading I hope you took the advice and re-shorted the market with VIX when we made our lower high at 1526.
Right now, there is a real possibility of re-hitting $22.00 or more on XIV (depending on if we get rejected at 1510 or not). My suspicion is that the VIX spike we have seen recently is still the warning flare I discussed. Not the actual Calvary yet. When this bounce higher (maybe to 1520?) ends, and takes the money out of the record 1.3 M VIX calls purchased yesterday, then, then, we might get the mother kahuna in VIX. (We shall see later on if there are any new variables that come up in VIX structuring).