Market Currents

Scratching your head about a lower VIX (VXX -2.4%) even with stocks down? Don't forget the roll,...

Monday, August 13, 2012, 3:46 PM ET
Scratching your head about a lower VIX (VXX -2.4%) even with stocks down? Don't forget the roll, writes Bill Luby. Today is the day SPX options contracts roll forward one month. A particularly large difference between near-term and further out term volatilities causes the VIX to be substantially depressed, though this should diminsh over time.

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This news story has 10 comments:

User 502794 Comments (122)

isn't the VIX a measure of volatility? if so, direction is secondary

13 Aug 2012, 03:49 PM Reply Like

Tom DiLello Comments (21)

Scartching?

13 Aug 2012, 03:55 PM Reply Like

Whitehawk Comments (2802)

I didn't scratch, and have made a nice profit...predicted move to 14 (which was overshot to the downside today)

13 Aug 2012, 04:41 PM Reply Like

J 457 Comments (865)

Complete complacency in the market today. Every bull confident FED will print. Meanwhile, back in reality the flock of black swans continues to circle. VXX at $11.20, a five year low, reminds me of just before the 2008 melt-down.

13 Aug 2012, 07:29 PM Reply Like

riskybz1 Comments (3)

I'm with you! Bring on the swans

14 Aug 2012, 02:16 AM Reply Like

bagelbob1957 Comments (2)

Wait till overall trading volume goes up in Sept., Should get a nice pop when this bubble bursts. Patience.

13 Aug 2012, 11:04 PM Reply Like

barrry Comments (27)

Yes Volumes are very low indeed. A "pop" to the upside is coming, "patience" is the key, agree.

14 Aug 2012, 01:12 AM Reply Like

Rick A Comment (1)

Vxx & Uvxy are my insurance policies. The time is coming when my 401K & portfolio will take a beating. AGAIN !!!
The FED generated rally will dissipate. My 401K is up over 15% for the year...But, I'm certain that with the Euro, China and an Obama win, I'll be SOL. Worldwide there is so much going on...The elephant in the room is just being ignored...

14 Aug 2012, 02:10 AM Reply Like

Joe Razorback Comments (271)

VIX Measures near term volatility I believe. So, it only looks at 30 days and in. So with expirations further away, you see a lull in the vix. Either way, I agree with everyone. Give it a week or 2. Sept/Oct Contracts will be HOTTTTT

14 Aug 2012, 05:39 PM Reply Like

sciencemagic Comments (55)

Anybody have any explanation as to the VIX pop yesterday. It just didn't seem to fit the rest of the markets yesterday.

15 Aug 2012, 02:08 PM Reply Like

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