So, a statistical comparison would be more relevant. My answer assumes prior knowledge of the basic workings of the VIX index and futures contracts. The … I do not hold myself out as a financial advisor and nothing herein is a solicitation for any fund or securities mentioned. I'm making this website available "as is" with no warranty or guarantees of its accuracy, completeness, or current's. 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. As a result, longer-term options on the VIX are … View and download daily, weekly or monthly data to help your investment decisions. When this chart is rising, $VIX is outperforming VXX, and when i… The CBOE VIX uses the S&P 500 Index (SPX) options to capture the expected volatility for the next 30 days. For instance, if VIX is at 15 today, and a one-month VIX futures contract is trading at 16, then the VIX … If you would like an introduction, please read my answer to How does the VIX index and its … 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. The VIX9D is a 9-day statistical measurement, where as the VIX is a 30-day measurement. 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. Vix9d NG]4 % DV3 [l n FI. 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. I present this signal as an additional tool you can add to your trading toolbox. Past performance is not indicative of future results. So as an example, let's use values from May 31, 2019: VIX9D on May 31, 2019: 19.00 Volatility indicator to watch: VIX9D : VIX : VIX3M : VIX6M : VIX1Y. After a long run of mostly quiet days, US equities (SPY, DIA, QQQ, IWM) are beginning off December with a moderate slump. VVIX vs. VIX Difference. Past performance is not indicative of future results. 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. Its absolute value and percentile ranking of previous values is displayed in the Volatility Dashboard every morning in my blog. VIX | A complete CBOE Volatility Index index overview by MarketWatch. Now let’s match up this known exposure with the size of the entire market for VIX futures on the day in question: Any and all financial decisions are the sole responsibility of you the individual. We know backwardation … While the VIX … The chart below shows how VXX’s price has fared relative to the VIX. Get historical data for the CBOE Volatility Index (^VIX) on Yahoo Finance. Spot VIX popped nearly two full vol points over Friday's close as we near the end of the Monday trading session. Only energy stocks (XLE) are flashing green, and only minimally at that. VIX on May 31, 2019: 18.71. If it's below 1 it means the VIX9D is trading below the 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. Ticker Trading Ideas Educational Ideas Scripts People Use this information in the best way you know how :). 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. 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. So just like with the exponential vs simple moving average analogy, tracking a VIX9D:VIX … Investors can't directly own any of these, but that doesn't mean they aren't extremely important. 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. 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 three VIX ETFs, ranked according to 1-year trailing total return, are VIXM, VXX, and VIXY. 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. The VIX9D, VIX3M, VIX6M, and VIX1Y are just like the VIX, just over different time periods. This is why it's often referred to as the "cash" VIX. 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. View real-time VIX index data and compare to other exchanges and stocks. Those 5 data points are absolutely packed with useful volatility information. TradingView. VIX  -  30-day forward implied volatility They are also just statistical values based off S&P 500 options, which is why I call it the "cash" VIX term structure. 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. Because the VIX and VXX will tend to … 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. By very design and methodology, the VIX9D reacts to market movements faster than the VIX index does. First I'll show how to calculate it because that's easy enough, and then after that we'll talk about what it means. Nothing herein should be interested as personalized investment advice as I make no recommendations to buy, sell, or hold any securities or positions. There was a bullish RSI divergence, but that takes several days before it actually resolves … 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? Cboe Futures Exchange (CFE®) launched trading in Mini Cboe Volatility Index® futures (VXMSM) on Monday, August 10. VIX is short for the Chicago Board Options Exchange Volatility Index. Clearly volatility was on the move in the first week of May 2019. Thus if the VIX level is unchanged, the index can still provide positive returns through the roll yield. 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. This means the VIX9D reacts much quicker to movements in the underlying compared to the VIX. 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? 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 … It's just a statistic, calculated based off a strip of S&P 500 options. Calculating VIX is complex enough to border on being proprietary, but it is available on many quotation systems and on the exchange’s website.. But why is this ratio even important? 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. 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. 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. * All information, analysis, and articles on this site are provided for informational purposes only. Yesterday, the 9-day Vol Index dropped from 14.68 to 9.83! You can clearly see how the SVXY performs in certain VCO … 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. 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 … This was not some arithmetic quirk with expiring options or a holiday or anything like that. If VIX9D > VIX, all other things being equal it may mean volatility is moving higher recently. This means the VIX9D reacts much quicker to movements in the underlying compared to the VIX. 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 … 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. 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. For example, it’s almost impossible to see where VXX outperforms $VIX (we know that it does, sometimes). View stock market news, stock market data and trading information. If EMA > SMA it means the underlying is on the move right? Both indices measure implied volatility of options with 30 days to expiration. For example, this roll yield averaged 1.2% per day last week (March 9-13, 2020). The potential problem, as with any futures contract, is contango —that is, when the futures price for something is higher than its current price. If it's above 1 it means the VIX9D is trading above the VIX. So how can these two moving averages be used together? This upward sloping "cash VIX term structure" where the further we look out in time the higher the values are represent normal uncertainty. Â. More specifically, these are the 5 cash volatility indexes: As you may know, you can't directly own the VIX index. I'm making this website available "as is" with no warranty or guarantees of it's accuracy, completeness, or current's. 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. The title speaks for itself. 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. VCO vs SVXY Overlays the VIX Contango Oscillator over the SVXY. The only difference between VVIX and VIX is in the underlying of the options used for the calculation. The results are shown in Figure 2 (below). VIX3M  -  3-month forward implied volatility All the other sectors are down, anywhere from .18% (for staples - XLP) to 1.47% (real estate - XLRE). The VIX … Nov 30, 2018 (blue) vs Dec 4, 2018 (orange). The VIX is a range bound index (scale on the right side of chart) that stays between around 9 … CBOE Volatility Index advanced index charts by MarketWatch. It's just an arithmetic moving average, calculated by adding up the values and dividing by the number of occurrences. Depending on how this signal was used, you can see there. The VIX has spiked in 2020, rising 63% during the past 12 months. It doesn't take much to see it cross over the VIX. Any and all financial decisions are the sole responsibility of you the individual. VIX6M  -  6-month forward implied volatility If you rely on this website or any of the information contained, you do so entirely at your own risk. 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. 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. VIX9D  -  9-day forward implied volatility By Lawrence G. McMillan. Another very common tool is an exponential moving average (EMA) which gives more weighting in the calculation to more recent occurrences. So this metric is just a ratio of the VIX9D value compared to the VIX index. VIX Rises When Markets Fall. 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? Sign In. I do not hold myself out as a financial advisor and nothing herein is a solicitation for any fund or securities mentioned. VIX at the daily view. 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. 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. If you rely on this website or any of the information contained, you do so entirely at your own risk. Like I said before, VIX is not showing signs of a ramp up or uptrend. There are ways to view it as a trend following signal to help determine when it's time to move to safety. Nothing herein should be interested as personalized investment advice as I make no recommendations to buy, sell, or hold any securities or positions. If VIX9D < VIX, all other things being equal it may mean volatility is more stable recently. VIX is the symbol for the Chicago Board Options Exchange's volatility index. VIX options time sensitivity: VIX Index is the most sensitive to volatility changes, while VIX futures with further settlement dates are less sensitive. One of the most common tools that traders use in their technical analysis of the markets is a simple moving average (SMA). 10 Key Features of the VIX Index and New Mini VIX Futures (VXM) Read more. The VIX9D is a 9-day statistical measurement, where as the VIX is a 30-day measurement. This is achieved by dividing the two price series, day by day. There is no difference in calculation. Values of the spot VIX indices VIX, VIX9D, VIX3M and VIX6M are overlayed. Known Exposure Vs. Market Size. 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). * All information, analysis, and articles on this site are provided for informational purposes only. This makes the exponential moving average a faster reacting one than a simple moving average. 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. Volatility Funds vs the VIX. 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. The risks of VIX futures. 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 … There are also ways to use it as a contrarian signal for potential opportunities to fade a short term volatility spike. 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. Technical analysis of the spot VIX indices VIX, VIX9D, VIX3M, VIX6M, and VIXY 4 DV3! 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