Friday 7 February 2014

Volatility... destroyed

With the market managing to rally - despite lousy jobs data, the VIX was crushed for the second consecutive day, settling -11.3% @ 15.29, back to the levels when sp' was trading around 1815. Across the week, the VIX declined a rather huge -16.9%.


vix'60min


vix'daily3


vix'weekly


Summary

Arguably, it is the third chart, the weekly, that is most important. Once again, we've seen the VIX attempt to break..AND hold above the 200 MA..only to fail.

This week sure was a mixed mess. The Monday break to 21.84 was particularly powerful - on the back of the sp -40pt daily decline.

As I noted at the time, despite a lower low early Wednesday morning, with sp'1737, the VIX did NOT confirm with a higher high.
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Typically, with such a huge fail/turn in the VIX weekly cycle, equities will likely rally for at least a few weeks, if not a month or two.
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more later...on those rallying indexes