Thursday 26 July 2012

Volatility slips, VIX fills the gap

VIX closed 9% lower today, although that is not surprising considering the ramp in the main indexes. The gap from the Monday leap higher is arguably now filled.


VIX'60min



VIX, daily


Summary

The hourly cycle looks pretty floored, but the daily MACD cycle is threatening a rollover. However, in price terms..VIX seems very unlikely to go much lower.

Unless the main indexes claw above sp'1380, I hold to my mid term target of VIX 35/40.