Monday, August 8, 2011

Volatility: "Vix curve implies a ‘systematically important shock event’" (VXX; TVIX)

The index is at 38.07, up 19%.
I'm not sure the VIX has predictive capability.
For months the index seemed to be more of a coincident indicator but since July 11's "A rare VIX pattern is appearing again ..." (VIX; VXX)" (at vix 15.95) it seems to be ahead of the curve.

Here's the latest, from FT Alphaville:
As the Vix and More blog duly noted last Friday, not only has spot Vix been spiking in its own right (last print seen around the 40 mark on Monday), the entire Vix term structure has flipped into backwardation over the last 10 trading days:

Furthermore, the latest data from the CBOE shows the backwardation has only intensified over the weekend...MORE
If the VIX is now leading rather than concurrent, there is something big and bad out there.


Aug. 5
Volatility: "VXX Options are Different" (VIX; VXX)
July 18
Updated: Rare VIX pattern appearing again (VXX; TVIX)
June 1
The calm before the (volatility) storm (VIX; VXX; XIV)
May 17
VIX to Benefit From QE2′s End? (VXX; TVIX; VZZ)

And a couple older posts on what may have been going on this spring:

May 19
The CBOE and the Weirdness in VIX Settlement (VXX; TVIX; VZZ; XXV)
April 12 
"Must Read: Is Volatility Broken? Normalcy Bias And Abnormal Variance" (VIX; VXX; TVIX)