Tuesday, June 28, 2016

Volatility Regime Change: The Hook Is Set

This first leg down has been characterized by relatively low options volatility as the dip got bought with both hands, shorts were covered, and hedges got monetized...

"Global stock markets shed more than $3 trillion in value. Some market participants took that as a signal the worst of the ugly Brexit carnage was over."

CNBC June 28, 2016
The Fear Index is Sinking - Here's Why
"All the hedging that was done prior to this" is being "taken off," which is driving down options prices and hence implied volatility measures"

"the VIX turnabout is "a bit surprising but indicative of the complacency I think persists"

VIX with low volatility fund (inverted):


Deja Vu

Utilities are the last leg of the stool:
Utilities versus S&P (:15 Minute)


Oil and stocks: two things that go down great together...

Price momentum

On balance volume

Bollinger bands

"Safe haven"