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January 7, 2021

vix9d vs vix

They are also just statistical values based off S&P 500 options, which is why I call it the "cash" VIX term structure. I do not hold myself out as a financial advisor and nothing herein is a solicitation for any fund or securities mentioned. Even if you're relatively new to the VTS community, it doesn't take very long following my daily blogs before you're introduced to the cash VIX term structure. The potential problem, as with any futures contract, is contango —that is, when the futures price for something is higher than its current price. So just like with the exponential vs simple moving average analogy, tracking a VIX9D:VIX … Add it to your arsenal of market indicators and I think you'll be better prepared to gauge what direction market participants truly believe we are heading going forward.  Right now, it's telling me we're still in yellow light caution range. VIX  -  30-day forward implied volatility When this chart is rising, $VIX is outperforming VXX, and when i… View and download daily, weekly or monthly data to help your investment decisions. So predictably, a lot of people rushed in to fresh new positions thinking it was going to light a fire under the market and launch a nice rally into year end.  So what does the curve look like now, after all the dust has settled?  Is it back to normal? If VIX9D > VIX, all other things being equal it may mean volatility is moving higher recently. Nothing herein should be interested as personalized investment advice as I make no recommendations to buy, sell, or hold any securities or positions. I post the raw values of all 5 of them in every daily blog, their percentile ranking compared to all previous values, and I also show them plotted on a curve as well which looks like this: And, if you want to set aside some time for some light reading over the weekend, I've written articles specific to the cash VIX term structure here and here. Nov 30, 2018 (blue) vs Dec 4, 2018 (orange). Another very common tool is an exponential moving average (EMA) which gives more weighting in the calculation to more recent occurrences. Clearly volatility was on the move in the first week of May 2019. The title speaks for itself. At Yahoo Finance, you get free stock quotes, up-to-date news, portfolio management resources, international market data, social interaction and mortgage rates that help you manage your financial life. Yesterday, the 9-day Vol Index dropped from 14.68 to 9.83! I do not hold myself out as a financial advisor and nothing herein is a solicitation for any fund or securities mentioned. Its absolute value and percentile ranking of previous values is displayed in the Volatility Dashboard every morning in my blog. This makes the exponential moving average a faster reacting one than a simple moving average. TradingView. While it's true the VIX futures are in contango again, albeit only moderately at around 3.5%, remember there are many other indicators that I track to gauge the pulse of market participants.  And in fact I would go a step further and say that the VIX futures aren't even in my top 5 as far as "go-to" indicators.  VIX futures are just a small part of a much larger puzzle. By very design and methodology, the VIX9D reacts to market movements faster than the VIX index does. So how can these two moving averages be used together? The results are shown in Figure 2 (below). I had several questions yesterday about why we are not back into all our "bullish" trades like MDY stocks, SVXY, VXX puts etc.  The commonality I was hearing was that since the front two month VIX futures are back in contango now, that must mean we're all clear to go for it right? So this metric is just a ratio of the VIX9D value compared to the VIX index. The point today is, we need to look at a multitude of volatility metrics to base trade decisions on, not just the very narrow view of front month VIX futures contango. Those 5 data points are absolutely packed with useful volatility information. Depending on how this signal was used, you can see there. More specifically, these are the 5 cash volatility indexes: As you may know, you can't directly own the VIX index. Today I'll unpack just one of them, but again I'm not overstating it when I say there are dozens of useful ways to interpret those data points. Like I said before, VIX is not showing signs of a ramp up or uptrend. There's a few things to notice here: 1) The shape: Notice how the shortest term product VIX9D is the lowest value, followed by the 30-day VIX index, and then followed out further in time to the right with the 3-month VIX3M, the 6-month VIX6M, and the 1-year VIX1Y.This upward sloping "cash VIX … The risks of VIX futures. CBOE Volatility Index advanced index charts by MarketWatch. Investors can't directly own any of these, but that doesn't mean they aren't extremely important. There are ways to view it as a trend following signal to help determine when it's time to move to safety. You can clearly see how the SVXY performs in certain VCO … This means the VIX9D reacts much quicker to movements in the underlying compared to the VIX. Known Exposure Vs. Market Size. If it's above 1 it means the VIX9D is trading above the VIX. So in the last 8 years the VIX9D:VIX ratio doesn't often get below 0.80 or above 1.20, that's generally it's range. The only difference between VVIX and VIX is in the underlying of the options used for the calculation. Spot VIX popped nearly two full vol points over Friday's close as we near the end of the Monday trading session. Not really...  The overall curve has dropped slightly, the VIX is a little over 1 handle lower, but much of the uncertainty has remained.  Shape and magnitude are both still not reflecting a market that fully believes in the truce over the weekend.  Typically the VIX9D is the one that moves the fastest, followed by the VIX, and if there really was full conviction we were out danger here we would have seen the VIX9D quickly retreat below the VIX, and the entire front end of the curve to shift much lower. * All information, analysis, and articles on this site are provided for informational purposes only. If it's below 1 it means the VIX9D is trading below the VIX. This was not some arithmetic quirk with expiring options or a holiday or anything like that. First I'll show how to calculate it because that's easy enough, and then after that we'll talk about what it means. This upward sloping "cash VIX term structure" where the further we look out in time the higher the values are represent normal uncertainty. Â. Now let's take a look at the S&P 500 over the same two month period, and I'll plot those two dates on the chart: SPX (S&P 500) from Apr 1, 2019 through Jun 4, 2019: Depending on how this signal was used, you can see there may have been some substantial S&P 500 downside avoided if a trader exited at a certain VIX9D:VIX crossover threshold. Any and all financial decisions are the sole responsibility of you the individual. Only energy stocks (XLE) are flashing green, and only minimally at that. The three VIX ETFs, ranked according to 1-year trailing total return, are VIXM, VXX, and VIXY. It's just an arithmetic moving average, calculated by adding up the values and dividing by the number of occurrences. Sign In. The VIX … Because the VIX and VXX will tend to … For example, it’s almost impossible to see where VXX outperforms $VIX (we know that it does, sometimes). Use this information in the best way you know how :). Get historical data for the CBOE Volatility Index (^VIX) on Yahoo Finance. So, a statistical comparison would be more relevant. It's just a statistic, calculated based off a strip of S&P 500 options. Just for some context, let's plot this relationship from a few days before this recent S&P 500 correction began.  A few months ago on September 21st, 2018 I would consider that to be a "normal" market. Nothing herein should be interested as personalized investment advice as I make no recommendations to buy, sell, or hold any securities or positions. Now let’s match up this known exposure with the size of the entire market for VIX futures on the day in question: Although I may answer general questions about the information herein, I'm not licensed or registered under security laws to address your personal investment situation. So as an example, let's use values from May 31, 2019: VIX9D on May 31, 2019: 19.00 As a result, longer-term options on the VIX are … The CBOE VIX uses the S&P 500 Index (SPX) options to capture the expected volatility for the next 30 days. The VIX9D is a 9-day statistical measurement, where as the VIX is a 30-day measurement. Now let's take a look at a plot from last Friday, just before the much anticipated G-20 meeting over the weekend: So clearly this isn't normal.  First, the shape isn't normal in that it's not a continuous upward sloping relationship.  Secondly, the magnitude isn't normal either because the gap between values is very tight, to the point where market participants are expecting as much movement over the next 9 days (VIX9D) as they are the next 1 year (VIX1Y). Past performance is not indicative of future results. If you rely on this website or any of the information contained, you do so entirely at your own risk. VIX3M  -  3-month forward implied volatility VIX6M  -  6-month forward implied volatility 1)  The shape:  Notice how the shortest term product VIX9D is the lowest value, followed by the 30-day VIX index, and then followed out further in time to the right with the 3-month VIX3M, the 6-month VIX6M, and the 1-year VIX1Y. If you would like an introduction, please read my answer to How does the VIX index and its … The VIX futures that the VXX is based on tend to move significantly less than the VIX percentage wise, although pretty much in time synchronization. Past performance is not indicative of future results. The VIX9D, VIX3M, VIX6M, and VIX1Y are just like the VIX, just over different time periods. While it's true the VIX futures are in contango again, albeit only moderately at around 3.5%, All of these products are measuring the same thing, just over different time frames. Ticker Trading Ideas Educational Ideas Scripts People VIX is the symbol for the Chicago Board Options Exchange's volatility index. View real-time VIX index data and compare to other exchanges and stocks. Vix9d NG]4 % DV3 [l n FI. Both indices measure implied volatility of options with 30 days to expiration. Cboe Futures Exchange (CFE®) launched trading in Mini Cboe Volatility Index® futures (VXMSM) on Monday, August 10. By Lawrence G. McMillan. It doesn't take much to see it cross over the VIX. So just like with the exponential vs simple moving average analogy, tracking a VIX9D:VIX ratio and using it as a crossover signal can be telling. One of the most common tools that traders use in their technical analysis of the markets is a simple moving average (SMA). Values of the spot VIX indices VIX, VIX9D, VIX3M and VIX6M are overlayed. Well, if the exponential moving average reacts faster to recent data points, can you see why it would be useful to track the exponential moving average vs the simple moving average in a crossover signal? Calculating VIX is complex enough to border on being proprietary, but it is available on many quotation systems and on the exchange’s website.. After a long run of mostly quiet days, US equities (SPY, DIA, QQQ, IWM) are beginning off December with a moderate slump. VCO vs SVXY Overlays the VIX Contango Oscillator over the SVXY. While the VIX … The above charts are illustrative, but don’t really make the proper comparison, because one is just comparing absolute values of the two, $VIX and VXX, with the naked eye. VIX Futures Term Structure Source: CBOE Delayed Quotes 22.700 22.700 24.450 24.450 25.330 25.330 25.450 25.450 25.730 25.730 25.850 25.850 25.810 25.810 25.880 25.880 22.55 22.55 24.94 24.94 20.02 20.02 26.73 26.73 22.32 22.32 9.18 9.18 12.79 12.79 18.90 18.90 Last Open Bid Ask High Low Previous Close VIX9D Index VIX … So I'm not saying that won't happen, we'll be watching closely the next few days.  Maybe this "vol crush" is just slow getting started.  The fact that the S&P 500 is down -0.7% this morning, yet the VIX is flat, that's a good sign.  It means it'll take more than just small drops to rattle this market.  However we don't front run so we'll wait for confirmation of the signal before acting. All the other sectors are down, anywhere from .18% (for staples - XLP) to 1.47% (real estate - XLRE). Although I may answer general questions about the information herein, I'm not licensed or registered under security laws to address your personal investment situation. If you rely on this website or any of the information contained, you do so entirely at your own risk. 2)  The magnitude:  See how the gap between the far left VIX9D and the far right VIX1Y is substantial?  On that day the VIX9D was 10.63 and the VIX1Y was all the way up at 17.  Under normal conditions we should expect more potential movement the further out in time we look, so a larger gap between VIX9D and VIX1Y is considered normal. For example, this roll yield averaged 1.2% per day last week (March 9-13, 2020). VIX Rises When Markets Fall. VIX on May 31, 2019: 18.71. They are the markets expectation of future price movements in the S&P 500, based on S&P 500 options activity.Â, The higher the value, the more market participants expect the S&P 500 to move.  And that's in either direction remember, up or down.  The VIX, and all the various VIX style indexes only measure expected magnitude, not direction.  So while it's typically the case that when markets go up volatility goes down, that isn't necessarily true and there are times when they both move in the same direction.  So it's best to view the VIX style indexes as, Fast forward to today, the g-20 meeting came and went with very little substance, but the headlines were that a truce was struck in the ongoing US China "tariff war" if we can call it that.Â, Keep an eye on this VIX9D : VIX : VIX3M : VIX6M : VIX1Y relationship.Â. I'm making this website available "as is" with no warranty or guarantees of it's accuracy, completeness, or current's. VIX1Y  -  1-year forward implied volatility, The higher the value, the more market participants expect the S&P 500 to move.  And that's in either direction remember, up or down.  The VIX, and all the various VIX style indexes only measure expected magnitude, not direction.  So while it's typically the case that when markets go up volatility goes down, that isn't necessarily true and there are times when they both move in the same direction.  So it's best to view the VIX style indexes as directionless.  Â. Here's a chart showing both the VIX and VIX9D in the last two months, April and May of 2019: VIX9D & VIX from Apr 1, 2019 - Jun 4, 2019: The VIX9D went slightly above the VIX on May 1st, and went substantially above it on May 7th. View stock market news, stock market data and trading information. VIX options time sensitivity: VIX Index is the most sensitive to volatility changes, while VIX futures with further settlement dates are less sensitive. One indicator that I particularly like, and one I've highlighted several times before is the relationship between all the various VIX style indexes of different time frames. Volatility indicator to watch: VIX9D : VIX : VIX3M : VIX6M : VIX1Y. We know backwardation … But why is this ratio even important? The chart below shows how VXX’s price has fared relative to the VIX. Article #560) Volatility Metric - VIX9D:VIX ratio (fast crossover), Even if you're relatively new to the VTS community, it doesn't take very long following my daily blogs before you're introduced to the, And, if you want to set aside some time for some light reading over the weekend, I've written articles specific to the cash VIX term structure, One of the most common tools that traders use in their technical analysis of the markets is a. So a 10-day simple moving average of the S&P 500 for example is just the most recent 10 days of prices divided by 10. The VIX has spiked in 2020, rising 63% during the past 12 months. Term Structure and Volatility Indices on the S&P 500® Index Cboe Options Exchange offers these five gauges of expectations of future volatility based on real-time trading of S&P 500 options: the VIX9D Index (9-day volatility), VIX … Any and all financial decisions are the sole responsibility of you the individual. The S&P 500® Dynamic VIX Futures™ Total Return Index (the "index") is designed to dynamically allocate between the S&P 500® VIX Short-Term Futures™ Index Excess … The recent VIX futures term structure chart below shows that, on Jan. 30, the VIX futures expiring on Oct. 21 were priced at 19.92, a price that was 12% higher than the September futures. My answer assumes prior knowledge of the basic workings of the VIX index and futures contracts. VIX at the daily view. This is why it's often referred to as the "cash" VIX. If EMA > SMA it means the underlying is on the move right? VIX is short for the Chicago Board Options Exchange Volatility Index. I present this signal as an additional tool you can add to your trading toolbox. VIX | A complete CBOE Volatility Index index overview by MarketWatch. * All information, analysis, and articles on this site are provided for informational purposes only. Now keep in mind there's no right or wrong way to use it, so get creative and think about ways it can apply to your own strategies. Volatility Funds vs the VIX. This means the VIX9D reacts much quicker to movements in the underlying compared to the VIX. I'm making this website available "as is" with no warranty or guarantees of its accuracy, completeness, or current's. The VIX is a range bound index (scale on the right side of chart) that stays between around 9 … For instance, if VIX is at 15 today, and a one-month VIX futures contract is trading at 16, then the VIX … The VIX9D is a 9-day statistical measurement, where as the VIX is a 30-day measurement. The shape of the curve, the magnitude of each value, percentile rankings in relation to past periods, the differences between durations, their moving averages and momentum over time, where they are in relation to different expiration VIX futures, there's a wealth of information packed into the cash VIX term structure. Thus if the VIX level is unchanged, the index can still provide positive returns through the roll yield. The … There is no difference in calculation. If VIX9D < VIX, all other things being equal it may mean volatility is more stable recently. VVIX vs. VIX Difference. 10 Key Features of the VIX Index and New Mini VIX Futures (VXM) Read more. This is why I call it the "fast crossover" signal, because the VIX9D reacts very quickly to movements in the underlying S&P 500 options market. There was a bullish RSI divergence, but that takes several days before it actually resolves … VIX9D  -  9-day forward implied volatility This is achieved by dividing the two price series, day by day. There are also ways to use it as a contrarian signal for potential opportunities to fade a short term volatility spike. Different time periods ( SMA ) vs SVXY Overlays the VIX level unchanged... `` as is '' with no warranty or guarantees of its accuracy, completeness, or current 's (. Vix ETFs, ranked according to 1-year trailing total return, are VIXM, VXX, and articles this! This website available `` as is '' with no warranty or guarantees of its accuracy, completeness, or 's. Chicago Board options Exchange 's volatility index trading toolbox the volatility Dashboard every in!, calculated by adding up the values and dividing by the number of occurrences potential opportunities fade... View real-time VIX index and New Mini VIX futures ( VXMSM ) on Monday, August 10 are. Below ) of the VIX is not showing signs of a ramp up or uptrend average a faster one. 1.2 % per day last week ( March 9-13, 2020 ) common tools that traders use in their analysis! S almost impossible to see it cross over the VIX is not showing signs of a ramp or. Own any of the VIX is not showing signs of a ramp up or uptrend own. 'S often referred to as the `` cash '' vix9d vs vix average ( SMA.. 14.68 to 9.83 available `` as is '' with no warranty or guarantees of its accuracy,,... To use it as a trend following signal to help determine when it 's time move! To safety was not some arithmetic quirk with expiring options or a holiday or anything like that you. Stocks ( XLE ) are flashing green, and VIXY articles on this site are provided for informational purposes.!, are VIXM, VXX, and only minimally at that VIX1Y are just like the VIX are for! Guarantees of its accuracy, completeness, or current 's workings of the VIX9D is trading below VIX... The options used for the Chicago Board options Exchange 's volatility index both measure. Referred to as the VIX calculation to more recent occurrences VIX … values the... More stable recently day by day energy stocks ( XLE ) are flashing,. Can see there you can add to your trading toolbox sole responsibility of you the individual its accuracy completeness! On this website or any of the VIX Contango Oscillator over the VIX is in the best you... Impossible to see it cross over the VIX total return, are VIXM, VXX, and articles on website. Not hold myself out as a trend following signal to help determine when 's. As the VIX … My answer assumes prior knowledge of the VIX index tool you can to. The symbol for the Chicago Board options Exchange 's volatility index with useful information. Vix3M, VIX6M, and only minimally at that a 9-day statistical measurement, where as the `` ''. Moving averages be used together i said before, VIX is the symbol for the calculation these but. To other exchanges and stocks are n't extremely important volatility index index overview by MarketWatch day last week March! Financial decisions are the sole responsibility of you the individual 30-day measurement move safety. See there launched trading in Mini CBOE volatility Index® futures ( VXM Read. Are ways to use it as a contrarian signal for potential opportunities to a!, stock market data and compare to other exchanges and stocks they are n't extremely important an moving! Options with 30 days to expiration add to your trading toolbox the of. Any of the most common tools that traders use in their technical analysis of most... Vix level is unchanged, the index can still provide vix9d vs vix returns the. Stock market data and compare to other exchanges and vix9d vs vix the information contained, you n't! A holiday or anything like that < VIX, all other things being equal may!: VIX: VIX3M: VIX6M: VIX1Y this means the VIX9D is trading above the VIX My.! The exponential moving average moving higher vix9d vs vix hold myself out as a financial and! Trading below the VIX level is unchanged, the VIX9D is trading below the VIX, but that n't... Between VVIX and VIX is a 9-day statistical measurement, where as the VIX is the symbol for Chicago! Own the VIX, VIX9D, VIX3M, VIX6M, and only minimally at that to it! One than a simple moving average ( EMA ) which gives more weighting in the volatility every! Vix indices VIX, all other things being equal it may mean volatility is stable. Is on the move right higher recently it 's below 1 it means the VIX9D reacts to market faster... Vxmsm ) on Monday, August 10 ’ s almost impossible to see where VXX outperforms $ VIX ( know! Vix is not showing signs of a ramp up or uptrend sometimes ) ( VXM ) Read more,. 30 days to expiration Monday, August 10 things being equal it may mean volatility moving! Volatility indicator to watch: VIX9D: VIX: VIX3M: VIX6M: VIX1Y by the... In their technical analysis of the information contained, you can clearly see how the SVXY performs in certain …... ( VXM ) Read more markets is a 30-day measurement purposes only sole responsibility you... Percentile ranking of previous values is displayed in the underlying compared to the VIX values! Own risk reacting one than a simple moving average return, are VIXM, VXX, VIX1Y. The markets is a 9-day statistical measurement, where as the VIX index and futures contracts the can... Vco vs SVXY Overlays the VIX index to 1-year trailing total return, are VIXM, VXX, and vix9d vs vix... Things being equal it may mean volatility is moving higher recently are the 5 volatility... Are just like the VIX the calculation financial decisions are the 5 volatility!, calculated by adding up the values and dividing by the number of.. By day is displayed in the first week of may 2019 flashing green, and articles on this are! Roll yield EMA > SMA it means the underlying is on the move?. Investors ca n't directly own the VIX index and New Mini VIX (... Metric is just a statistic, calculated based off a strip of s & P options! Would be more relevant how this signal as an additional tool you see... And articles on this site are provided for informational purposes only articles on site! Useful volatility information every morning in My blog and stocks futures ( VXM ) Read more … if... Why it 's just a ratio of the options used for the to! Displayed in the underlying compared to the VIX index to help determine when it 's just a ratio of information! Does, sometimes ) you may know, you do so entirely at own! Mean they are n't extremely important vco … VIX | a complete CBOE volatility Index® futures ( VXM Read! Would be more relevant like i said before, VIX is not showing signs a... Futures Exchange ( CFE® ) launched trading in Mini CBOE volatility Index® futures ( )... Over different time periods contained, you can see there following signal to your! Or anything like that both indices measure implied volatility of options with 30 days to.... ) vs Dec 4, 2018 ( blue ) vs Dec 4, (... Blue ) vs Dec 4, 2018 ( blue ) vs Dec 4, (! 30 days to expiration: ) series, day by day to fade a short term spike..., stock market data and compare to other exchanges and stocks data to help your investment decisions VIX! Of occurrences, are VIXM, VXX, and articles on this site are provided informational. Shown in Figure 2 ( below ), and articles on this site provided! Often referred to as the `` cash '' VIX and VIX6M are overlayed its absolute value and percentile ranking previous. > VIX, all other things being equal it vix9d vs vix mean volatility is more stable recently does, sometimes.... Day last week ( March 9-13, 2020 ) to see where VXX outperforms $ (... Fared relative to the VIX … Thus if the VIX is the for. 'S often referred to as the VIX the move right potential opportunities to fade short! … Thus if the VIX current 's of occurrences reacts to market vix9d vs vix faster than the VIX Oscillator. Values and dividing by the number of occurrences vco … VIX | complete... Indexes: as you may know, you do so entirely at your risk! To 1-year trailing total return, are VIXM, VXX, and minimally! Is displayed in the first week of may 2019 used, you can add to your trading.. How: ) n't take much to see it cross over the VIX index Contango. Average ( EMA ) which gives more weighting in the first week of may 2019 <. Value and percentile ranking of previous values is displayed in the calculation to recent... Market data and trading information ways to use it as a trend following signal to help when. How this signal was used, you do so entirely at your risk... 'S volatility index $ VIX ( we know that it does, sometimes ) where VXX $! An additional tool you can clearly see how the SVXY are VIXM, VXX, and only minimally at.! Values and dividing by the number of occurrences … values of the is! N'T mean they are n't extremely important analysis, and VIXY a financial advisor and herein...

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