This very interesting note from Bill Luby’s blog http://VIXandMore.blogspot.com Titled “Big Intraday Surge in VIX While SPX Treads Water”
- While I tend to shy away from talking too much about intraday moves in the VIX, today has been an unusual day in the VIX.
First, for most Fridays and particularly before long weekends, you should expect the VIX to be (a little more than 1.0%) lower than usual due to what I refer to as calendar reversion, when options are repriced with the assumption of lower volatility in advance of several non-trading days.
As I type this the VIX is almost flat, while all the major indices are in the green.
What is particularly interesting, however, is how the VIX since about 1:00 p.m. ET. In the one minute intraday chart below, note the steady rise in the VIX over the course of the last hour or so, while the SPX has essentially moved sideways.
The action in the VIX could portend a rocky last hour or two or perhaps indicate that traders are becoming more concerned about holding long positions over the holiday weekend. Keep an eye on the VIX – and the weakness in real estate (IYR) and financials (XLF).
The peak in the chart at the start of the day corresponds to the low in the SPX. The market was at a loss around 10 AM today.
In fact, the market dropped 1% in the last half hour to end the day nearly flat.
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