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Correlational Observations of Indices Market Behavior.
VIX Volatility futures Index.
By John Thorpe, Senior Broker
VIX futures expiration is a monthly occurrence. The expiration is somewhat varied, the remaining 2021 schedule is included below, typically, middle of the month on Wednesday mornings. Take a look at your daily chart for any of the indices and you see the sell offs during the week of or the week prior to
VIX
expiration days.
My belief is there would be a smaller probability of a correlational relationship during a Bear stock market, However, Since we are in the 12th year of a bull market, I believe the underling price action is created by portfolio managers rolling their hedges and adjusting their risk for the coming month. They often use the week prior to Short the VIX at higher prices (lower equity index prices) for the first week of the new
VIX contract month as they are buying back their old contract shorts pushing the VIX prices higher, thereby pushing negative sentiment into the marketplace. If there are more extreme price movements in their favor, they will elect to have the hedges expire to cash as the contracts are financially settled.
Coincidentally, September VIX expired Wednesday morning September 15th at 8:00 a.m. CDT and the October VIX expires in 10 days.
You can trade both the VIX and Equity index futures with multiple leverage options, Reach out to your Cannon Trading representative for more details.
Here is a VIX contract description from the CBOE “
The CBOE
Volatility Index – more commonly referred to as the “VIX Index” – is an up-to-the-minute market estimate of expected volatility that is calculated by using real-time prices of options on the S&P 500® Index listed on CBOE Exchange, Inc. (“CBOE Options”) (Symbol: SPX). Only SPX options with Friday expirations are used to calculate the VIX Index. The VIX Index is calculated between 2:15 a.m. CT and 8:15 a.m. CT and between 8:30 a.m. CT and 3:15 p.m. CT. Only SPX options with more than 23 days and less than 37 days to the Friday SPX expiration are used to calculate the VIX Index. These SPX options are then weighted to yield a constant, 30-day measure of the expected volatility of the S&P 500 Index”
The above is the opinion of John Thorpe, Cannon’s broker since 2002. Do your homework, take a look at charts, see if you can find any correlations and understand that this is provided as trading insight/ opinion and readers are urged to use their own due diligence.
Trading Futures, Options on Futures, and retail off-exchange foreign currency transactions involves substantial risk of loss and is not suitable for all investors. You should carefully consider whether trading is suitable for you in light of your circumstances, knowledge, and financial resources. You may lose all or more of your initial investment. Opinions, market data, and recommendations are subject to change at any time when it comes to Futures Trading.
Good Trading
Trading Futures, Options on Futures, and retail off-exchange foreign currency transactions involves substantial risk of loss and is not suitable for all investors. You should carefully consider whether trading is suitable for you in light of your circumstances, knowledge, and financial resources. You may lose all or more of your initial investment. Opinions, market data, and recommendations are subject to change at any time when it comes to Futures Trading.
Futures Trading Levels
10-20-2020
Economic Reports, source:
https://bettertrader.co/
This is not a solicitation of any order to buy or sell, but a current market view provided by Cannon Trading Inc. Any statement of facts here in contained are derived from sources believed to be reliable, but are not guaranteed as to accuracy, nor they purport to be complete. No responsibility is assumed with respect to any such statement or with respect to any expression of opinion herein contained. Readers are urged to exercise their own judgement in trading.
