Discover and read the best of Twitter Threads about #VIX

Most recents (24)

🧵 SITUACIÓN DEL MERCADO

👉 "El sector defensivo, también se ve arrastrado por el mercado" Image
1⃣ Análisis de índices y sectores
👉 MSCI World
En velas mensuales, podemos ver como la caída que estamos viviendo actualmente no queda ni cerca de la línea de tendencia donde ha habido otros rebotes.
En semanal, vemos un canal bajista y un soporte que parece que puede perder. ImageImage
👉 #DAX
Cierra el gap de la apertura semanal y vemos gran volumen.
Es normal, estábamos muy sobrevendidos.
Vigilaría la tendencia bajista como posible zona para averiguar si esto se trata de otro rebote "muerto" o algo más. Image
Read 43 tweets
We are living in days of high #Vix with added volatility & movement in our favorite indices

There have been strange opens & very quick movements some to profits, others to losses

There is always a message in the data. Data speaks

Let's explore what Vix wants to tell us
Vix is at 25- 30 currently.

Is this Normal?

Data from 2010 suggests this as an outlier

A vix above 30 has been trading less than 55 times in 3000 sessions!

It's a 1.83%
For those who are new to trading , this is a TIME Profile of the VIX from March 2020.

The mode is seen at 18-20 and anything above the red line of 25 is 2nd standard deviation territory for the markets and a change in Vix regime.
Read 13 tweets
Precision in market timing & proper position sizing is a 90% determinant for the success of my leveraged trades!

There’s simply no other ways around this 🚀

#SnP500 #VIX
#NQ1 A highly probable roadmap for the coming weeks; but if this looks too obvious to you, my word of caution is that it'll be 20x the opposite in real-time especially when dealing with your open leveraged positions in the lower time-frames...

#MarketTiming
#PositionSizing Image
#NQ1 roadmap updated; #NotThereYet
#Nasdaq100 #QQQ Image
Read 44 tweets
Why I am "#BEARISHONTHESTOCKMARKETS"

Complete list of reasons, rationales, charts, philosophies and

"Where is the money, honey? -opportunities to make money in volatile times"

A SMALL THREAD🤏!

Support me with your love ❤️, like 👍, and retweets!🔁
Invasion of #Ukraine by #Russia, a real possibility
Ukraine is much smaller in size compared to Russia by all means.

But it has the full support of NATO Members-
USA, UK, France, and Germany are supporting Ukraine,

On the other side, China is supporting Russia.

If a war happens, all the major economies will be involved.
Read 25 tweets
#ES #VIX #UVXY #SPX #SPY #VXX Basics of long IVOL scalping/gamma trading.
So you might have heard of a straddle(call + put, same strike.) You have probably heard of it being a pure vol play. (1)
But what does that exactly mean, you might say it means an IV play. This is correct to a certain extent, however straddles aren't just a bet on IV. They're both a bet on IV and RV? You might be asking what Is RV? (2)
RV Is simply just the volatility that has ACTUALLY occurred. Where IV is what the marketplace believes RV to be In future. You might ask how does this play a part in a straddles PNL. As we know IV has the most weight In the pricing of an option(<atm) (3)
Read 10 tweets
Very important week with 3 of the MARKET HEROES reporting. As they go, we go.
$MSFT Tue
$TSLA Wed
$AAPL Thur
Later will get $NVDA $GOOG $GOOGL Image
Also keep 👀 on Market Sentiment Indicators
#BTC #ETH $QQQ $SPY #VIX Image
Read 5 tweets
Nada nuevo bajo el sol:
1.- $ 4,3 billones de op sobre acciones están a punto de expirar (incluidos $ 2,3 billones de op trim de SPX, $ 360 billones de op sobre fut de SPX E-mini, $ 255 billones de op SPY y $ 670 billones de op sobre acc individuales tinyurl.com/yja97nbv
2.- La prima de riesgo de alta volatilidad de este año es una indicación de que los inversores han sido compradores netos de opciones del índice, dejando una posición gamma corta que puede ayudar a que la volatilidad se mantenga elevada esta semana. #Sp500
3.- La volatilidad de las acciones individuales sigue siendo bastante alta. El movimiento negativo de muchas acciones está generando grandes volúmenes de Puts, creando un gamma negativo altamente concentrado en el vencimiento del 17/12. #VIX
Read 12 tweets
1/

When the last great #uranium bull cycle ignited back in 2003-2004, broad market was starting to recover from the dotcom bubble.

Today we are in quite a different market environment where broad market is relatively a lot more expensive than it was back then.
2/

On $PDN for example, a 10% discount to 50 dEMA was a gift to add to. Many others gave 20-40% discounts to 50dEMA.
3/

Stocks dont go up or down in a straight line. They step up and down in multiple time frames. Hourly, daily and weekly.
Read 12 tweets
What is VIX?
Volatility Index.

What’s Volatility?
Expectation of the underlying’s deviation from what it is currently trading at. Assume underlying here as NIFTY Index.

If Nifty trades at 17,000, 1% volatility for 1 day means, expected to trade between +/- 1% 170 points.

1/n
Coming back to VIX.
So, VIX is computed as an index which trades on the exchange. Just like we have other indices like Nifty, Sensex, Bank Nifty, etc and has a certain rule how they are computed, similarly, there are set of rules and formulae how VIX is computed.

2/n
VIX is the original concept of US, to be precise, CBOE (Chicago Board Options Exchange). India got inspired and created its own VIX, largely based on similar set of rules of CBOE, but a slight tinge of local flavour – as of course US and India markets are different, right?

3/n
Read 19 tweets
UBS 1/4: Don't expect the #volatility lull to last.
Wall Street’s most prominent gauge of investor anxiety, #VIX index of implied stock #volatility, closed at a fresh pandemic-era low near 16.7 last week. But we see reasons to expect periodic bouts of higher volatility near term
UBS 2/4: First, investors are likely to be torn between optimism over accelerating growth and worries over higher inflation. Second, optimism over the course of the pandemic is being tested by the spread of new variants of the virus.
UBS 3/4: Finally, we expect volatility to be driven by increased institutional and retail activity in the options market, along with the increased share of growth stocks in major indexes. However, investors can take advantage of this backdrop.
Read 4 tweets
How seriously is past volatility a fair estimate of future volatility or risk useful in financial models?
@GARP_Risk
Historical Volatility based on empirical data sample observations.
Data Sample Observations can be historic baseline data for a particular asset class/exposure or simulated data derived from iterations using some historical data sets.
Another branch of data which can be used to observe future volatility is exploratory data drawn from within a sample or a population using data #visualization tools.

This technique is becoming popular as data science and machine learning advancements are taking place
Read 22 tweets
Bizde #opsiyon deyince genelde $/TL anlaşılır. Bolca değindiğimiz Robinhood ve ABD'li küçük yatırımcı orduları içinse... hisselerde bir at yarışı ve sürekli yükselen borsa akla geliyor. Peki nasıl? KY, bankadan alım opsiyonu (call) alır ve bunun hedge edilmesiyle olaylar gelişir: Image
Buna dair ilginç teori, #volatilite trader'larından geldi:

$TSLA endekse girince, büyük boyutu nedeniyle opsiyoncuların "göreceli arbitrajlarına" konu olacak. Lehine çalışan volatilite ticareti terse dönecek; yükselişi son bulacak! Bekleyip, göreceğiz 🤠

Volatilitenin yenilip içilmekten ziyade alınıp satılabilen bir parametre olduğunu... #VIX namlı endeks nedeniyle en genç borsacılar bile duymuştur. Biraz soyut bir kavram da olsa, teknik tarafını eşelemek uzun vadede yararlı olacaktır:

Read 6 tweets
Earnings & the #Fed. I assumed the 1930s weren’t a good analog for 2020 b/c the fiscal/monetary policy response this year was greater & faster than ever, except perhaps the ‘40s. Policy response matters & in 2020 it blew away steps taken in ’08. How it started… (THREAD/1) Image
#Earnings & the #Fed. How it’s going… /2 Image
During volatile March, the 1987 crash was a better analog in the speed of the decline in stock prices & in the spike in the #VIX—VXO then. Also: the 1987 episode produced a full retest & pretty slow recovery. The analog worked in helping identify the market’s exhaustion point. /3
Read 7 tweets
Is it possible to predict probable Top and Bottom on #Nifty #Nifty50 using #INDIAVIX ?

Lets find out.

#INDIAVIX is a measure of market’s expectation of volatility over the near term. VIX is computed using the order book of the underlying index options i.e #NIFTY.
...1/n
@rohit_katwal VIX is denoted as an annualized percentage. Higher the VIX, higher the expected volatility.

When Nifty goes up, VIX reduces. When Nifty goes down, VIX increases. Its an inverse relationship. Why?

In my past tweets, I mentioned IV is demand and supply.
...2/n
@rohit_katwal Puts are bought as hedge. When fear is less in the market, demand of puts is less and hence prices are low and hence low IV which results in Low Vix. When fear sets in, market dips and demand for put increases with increase in IV, VIX increases.

...3/n
Read 13 tweets
A historic shift in the vol regime, 3 Things You Need to Know here:

thebeartrapsreport.com/blog/2020/08/2…

#VIX
#Volatility Image
2020

VIX: +66%
Nasdaq: +38%
Gold: +29%
S&P 500: +9%
Dow Jones Industrial Average: +0%

Via @BearTrapsReport Image
2020 Returns

Large Caps: +11%
Medium Caps: -2%
Small Caps: -15%

In recent weeks, there's been a massive buyer of Tech sector upside calls - call spreads across a basket of stocks. Over $1B of premium spent and upwards of $20B in notional through strikes. See above, important.
Read 4 tweets
Fear & Greed Index tracks seven indicators of investor sentiment. It's gradually dialing back up to Greed, but not yet Extreme Greed. Image
But when we take a look inside, and understand how it works, I see the main holdout is the . At around 22, the VIX still indicates a moderate level of FEAR, but we have to consider #VIX is fading from its highest level, ever, so its absolute level may not be as indicative. Image
On the other hand, the level of the Put/Call Ratio is among the lowest levels of put buying seen during the last two years, indicating EXTREME GREED on the part of investors. Image
Read 9 tweets
my favorite strategy

$XLY & $WMT spread z-score

entry
z < -1 std => long 1/3 of total lots
long WMT & short h * XLV

z < -2 std => long 2/3 of total lots

profit
z > 0 std => out 1/3 lots
z > +1 std => out 1/3 lots
z > +2 std trailing 1/3 lots

stop
z < -3 std. out.
XLY-WMT spread vs $VIX

when XLY-WMT z-score < -1 std (greed zone), #VIX spiking secured in 1-2 wks time-frame

should be confirmed by many of my other breadth & Jaws indicators

also huge warning, when VIX crushed, but the spread rising. stealthy sector rotation in Jan 2018
The 4+ year correlation b/w
1 XLY-WMT spread z-score
2 $VIX
3 > 0.7

tradeable corr & z-score

how about I scan tons of other similar growth/value sectors & stocks, charting their spread z-score & corr with VIX & Sector ETF? along with PCR

Hmm greatest breadth indicator ever?🧐
Read 19 tweets
#Quora Question: Why do some people prefer not trading on expiry days?

Because there is no set by the books way to do expiry day trading. See my screenshot of Intraday Net Positions from yesterday. After brokerage, I made a loss of ₹35k. Thread coming. #BankNifty #Nifty 1/n Image
Retail participation through leverage has increased in Thursdays Expiry #OptionsTrading. Everybody cannot be a winner. One's gain is others loss. Hence market makers have made Thursdays #BankNifty move extremely volatile. It is normal for a ₹10 option to hit ₹200 & 0 again. 2/n
I have been trading options as bread and butter, despite the fact that OTM options goes to 0, I prefer not to indulge in Expiry trading. I have tried:
1. Selling Option with proper signal with SL almost always hitting 0. Probability because of Index Management and Volatility 3/n
Read 13 tweets
Aakhir aaj wo kayamat ka din aa hi gya hai...
Loss wala😂
First loss in July Series.
In First trade itself results in loss 3800.
In another trade managed to recover some.
#Vix rising so no decay.
Indeed a buyers day. Image
->When market breaches important level, Play directional.

-> only accept that loss, which you can recover next day.
Today it was a tricky day from Option sellers point of view.

Missing screenshots from many today , those who regularly upload it EOD.
Is Twitter only for sharing profit screenshots only.
Read 3 tweets
Missed Friday, but I'm back with the daily #chart, with commentary by @reutersMikeD in the thread below. This one is global #COVID19 cases versus the #VIX #volatility index. Volatility has shot up in the last few days, amid a rising number of #infections in Beijing and the U.S.
It shows there really is still nothing more important for macro markets than the trajectory of the virus and shows super sensitivity to any rise infections associated with economies reopening - there was always likely to be some quid pro quo between people returning to work/...
...school/shops/big gatherings and rising infections - we now face the test of this over the coming weeks and market volatility gauges more than cash indices are the real relfection of that trepidation. Whatever governments do to respond may be trumped by a rise in public fear of
Read 7 tweets
Le #VIX, l'indice de la peur, est le produit dérivé phare de Wall Street. Conçu en 2004 comme une simple jauge pour mesurer la nervosité des marchés, la finance en a fait l'indice le plus traité.
Un article complet du @WSJ sur cet instrument toxique.
wsj.com/articles/volat…
Le VIX, les options et d'autres produits dérivés encore plus toxiques exacerbent les amplitudes des krachs. Ils ajoutent du chaos au chaos comme en 2008: les dirigeants politiques nous avaient promis de dompter le monstre en régulant la finance.
Encore des paroles sans lendemain.
L'article explique parfaitement que les produits dérivés sont encore plus à la mode du fait des politiques monétaires des banques centrales. Les spéculateurs et les fonds d'investissements fuient les obligations aux rendements bas pour parier sur les produits dérivés et le VIX.
Read 7 tweets
#SP500 Imo getting very close to start of next major decline! Chart difficult to read (sorry!). But so many lines in the sand here around 2920-2950 (on 4 hour chart). May over-shoot these levels -but soon major crash will set in. Illiquid deflation phase continues. Take care!! 🙏
As we can expect A (circle) = C (circle) we may see next decline bottom out ~1700-1850-area = A (blue). Major deflationary bust about to play out. Take care!!
My VIX model which predicted explosion in #VIX tells me, that we are about to see even stronger phase. Nothing rallies or declines in straight line. Hence, we currently see correction wave B - before strong take off in wave C. 2½ yrs of RSI divergence is not solved in 1 blow-up!
Read 3 tweets
waiting for iv crash just like VIX need it in India Vix
best time for daring option sellers to make huge..
i have sold huge otm options..lets see
#vix
#indiavix ImageImage
This was best expiry as per me to sell option in last 1 decade.
On leverage selling huge qty and making big fat mtm is not a skill which i admire, identifying trend, understanding mispricing of option selling at correct time is something which i admire.. Havent seen anyone so far
With such sharp skill in last 12 years of trading journey... Only met amateurs who kept on boasting or chest thumping for being lucky..
Read 4 tweets
(1/n) Should investors be prepared for a longer period of negative returns? Or are the #Nifty and #Sensex in for a prolonged struggle? Let's analyze some data from the #VIX (India VIX) into consideration.

Chart 1: Line Chart of IndiaVIX starting 2007 to present. Image
(2/n) As of close today, the India VIX ended at 58.88. The first close above 30.00 was registered on March 9, 2020 (7 days ago).

Let's look at similar instances in the past, where the VIX stayed above 30.00 for over a week (on a closing basis). Image
(3/n) Rest of the instances (VIX closing back below 30 within a calendar week (17 instances). Image
Read 5 tweets

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