VIX Up 8 Days?
Well to my knowledge the VIX has never closed up 8 consecutive days. Here is the stats and occurrences for 7 consecutive days.
Careful here- virtually all of this data is during the dot.com boom (eg upward biased I presume).
In any case- not exactly bearish.
Here is how many times the VXO has closed 8 consecutive (mind you we are not nearing 8 today, but 5). 4 data points- neutral results.
In any case- the data appears favorable, but some caveats.
(1) There is a ~88-90% chance the VXO is >=13 in APR-JUN time frame (using implied lognormal distributions of seasonal data).
(2) There is a ~59-64% chance the VXO is <=20 in APR-JUN time frame (using implied lognormal distributions of seasonal data).
(2) There is a ~43-48% chance the VXO is >=20 in APR-JUN time frame (using implied lognormal distributions of seasonal data).
This simply implies the VXO generally does not explode here, but also has remained very very low.
Finally here is the hourly SPX- not bullish if you ask me. That trend line should be watched.
I will talk more on options later this week- I think it will be an eye opener into some greeks.
Mole here: Thank you for a kick ass post, mate – I found another juicy setup for the subs and decided to tack it onto this one:
More charts and cynical commentary below for anyone donning a secret decoder ring. If you are interested in becoming a Gold member then don’t waste time and sign up here. And if you are a Zero or Geronimo subscriber it includes access to all Gold posts, so you actually get double the bang for your buck.
Actually, after reading Volar’s update this chart might make a LOT of sense. Anyway – we’ve got ourselves a wonderful short setup right now on the 30-year treasury futures. Until of course we bust a tiny bit higher – a breach of 141’27 would be bullish as hell and probably get us all the way into 146. This is one of those setups worth waiting for and how could one resist? Hey, not bad for doing all this on a little lappy in Barcelona! 😉