VIX Workshop

Did you know you can actually calculate and plot the values for SVXY and UVXY any time of day or night as long as VIX futures are trading? I went through a complicated explanation here so you can do it yourself and understand what goes into the calculations. Once you understand the calculation though, a simple shortcut is to use an index ticker known as SPVIXSTER. This is available on most trading platforms as well as Google and Yahoo quotes. An even nicer trick is that you can create a ThinkorSwim Thinkscript to plot the value you for you overnight! Basically SPVIXSTER is telling you the relative value of the 30-day weighted VIX future. The fund values of UVXY and SVXY are also available in realtime with the ticker UVXY.IV and SVXY.IV (or some variation thereof, depending on your specific broker). Now, although the fund values are not available after the 4:15 close, SPVIXSTER is reported around the clock as long as VIX futures are trading. See where I'm going with this? By ...

November 9, 2017 – Today was a terrific day for trading volatility. Plenty of money could be made on both sides of the trade, and unless you got greedy, everyone left happy. Today was also a textbook example of an indicator I like to use to identify VIX tops: the VXST:VIX ratio. I mentioned it briefly in my last entry, but I'll expand on it a little today. Without going into mathematical definitions, VXST is VIX's jumpier, angrier baby brother. If you know the simple definition that VIX is the expected volatility over the upcoming 30 days, VXST is the equivalent for the upcoming 9 days. Think of it as volatility with an even shorter time horizon than VIX – kind of like zooming in on the next few days. It tends to rise faster than VIX, and drops faster than VIX. The VXST:VIX ratio is just a simple way of telling us which value is greater, and by how much – VXST or VIX. The normal state of a healthy, up-trending market is that VXST is lower than VIX, similar to the way...