Seeking Alpha
  • Ocean Man
    With the biggest 1-day drop in 2 1/2 years on Nazzie, it's remarkable that the VIX is still under 16.
    Apr 10, 10:15 PM
    Reply (28)
    • markrpat: The VIX is a basement bitch indicator to short term volatility.
      Apr 10, 10:17 PM
    • 1980XLS: Bob Pisani on CNBC yesterday, saying VIX cannot pop as there is now so many ways to hedge, without moving the vix, unavailable till recent
      Apr 10, 10:20 PM
    • markrpat: for all following...VIX is a bitch collectively tied to $SPX VIX options. Not SPY.
      Apr 10, 10:25 PM
    • Ocean Man: VIX is tied to SPX put buying and SPY is tied to SPX.
      Apr 10, 10:27 PM
    • muldoon1959: Could the market be declaring that the drop this week is confined to bio-pharma and tech, and will not radiate out further?
      Apr 10, 10:33 PM
    • muldoon1959: Further than it already has, I should add.
      Apr 10, 10:35 PM
    • pollyserial: OM: I was thinking the same thing, everyone says its complacency, but maybe it's just that today's selloff was a stop-run? We'll see.
      Apr 10, 10:37 PM
    • pollyserial: But maybe I'm just seeing what I want to see. Bought a few May calls on the Qs near EOD.
      Apr 10, 10:39 PM
    • markrpat: why should I argue with OM...best for him to clarify.
      Apr 10, 10:42 PM
    • DH51: I read that the underlying futures controlling VIX are on the upswing, next rollover should increase volatility; so far up 3% this year
      Apr 10, 10:49 PM
    • DH51: this is why TVIX/UVXY/SVXY don't seem to react as dramatically as they should recently
      Apr 10, 10:52 PM
    • markrpat: okay...the SP500 VIX is based on index options. Agreed? Most of us don't trade on index...agreed? We use ETFs, ETNs and the like..Agreed?
      Apr 10, 10:57 PM
    • markrpat: The VIX is based on Index options. Enough already.
      Apr 10, 11:00 PM
    • aeovian: Who exactly is buying SPX puts anyway? VIX is more of a market maker/hedge fund manager fear index, not a market fear index.
      Apr 10, 11:07 PM
    • markrpat: For goodness sakes....f**k a d**.k..http://bit.ly/oi5nOs
      Apr 10, 11:20 PM
    • pollyserial: I don't understand your point markrpat. I don't think anyone's arguing with you. Just, VIX is usually used to hedge risk assets.
      Apr 11, 12:09 AM
    • pollyserial: And of course is gamed in interesting ways. OM is I think just saying, hedging isn't happening. It's interesting. Who knows what it means.
      Apr 11, 12:11 AM
    • markrpat: The SP500 Volatility Index is computed using Index Options, minute by minute. The VIX you see posted daily is a 30 day (calendar) ...
      Apr 11, 12:18 AM
    • markrpat: implied volatility that is annualized, but only calculated using the next 30 calendar days..unless we're within 1 week during options expiry
      Apr 11, 12:22 AM
    • Ocean Man: mark - your first post said the VIX was tied to VIX options.
      Apr 11, 12:28 AM
    • Ocean Man: I think there are two possible explanations. 1) VIX is a measure of how far out of money people are buying puts. In other words, how big a
      Apr 11, 12:32 AM
    • Ocean Man: drop people are protecting against. People have noticed that S&P pullbacks have been capped at 5-6% for the past two years, so they're
      Apr 11, 12:33 AM
    • Ocean Man: not protecting against anything much further, and with today's drop, we're already most of the way there.
      Apr 11, 12:34 AM
    • Ocean Man: 2) is 1980's point. More people are hedging with VIX-related instruments instead of SPX puts. This has worked in the past, but as more
      Apr 11, 12:35 AM
    • Ocean Man: people do it, it ceases to work. If no one is buying SPX puts to hedge, VIX won't go up, and those using VIX to hedge have a useless hedge.
      Apr 11, 12:36 AM
    • markrpat: Polly, my ultimate point is that the VIX is not necessarily tied to daily price action of NASDAQ...nor $SPY. It's related, but not tied.
      Apr 11, 12:38 AM
    • Rock228: VIX delta is all that matters.If it is 14-16 or 23-25, same move in VIX. Low VIX only shows Fed has done a good job in past suppressing Vol
      Apr 11, 8:54 PM
    • markrpat: http://bit.ly/1euKoz7
      Apr 12, 10:35 AM