Thursday 8 November 2012

Volatility strangly lower

Whilst the broader market declined by almost 1%, the VIX was red for the entire day. This is pretty unusual, and considering yesterdays index declines, it really is a strange anomaly. The VIX itself closed lower by around 3%, and rest @ 18.49.


VIX'60min



VIX'daily


Summary

I am really not sure what to make of the VIX action today. Is 'someone' out there meddling to keep the VIX muted? It just doesn't make any sense to see the indexes decline around 3% across 2 trading days, and the VIX is up a mere net 5%.

All things considered, VIX should be at least in the low 20s.
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An index bounce?

Today's closing hour action sure doesn't suggest a bounce tomorrow, but we sure are oversold on the smaller 15/60min cycles. The VIX itself seems largely detached from the index action.

Strange times.