07/30/2013 Live Update

[Al_Dente]

What a place to bounce
(cue McEnroe: “You cannot be serious”)

[BullBear52x]

last post for the road

XIV

[Cobra]

well, looks like it's one legged bear again. I give up.

[Cobra]

volume surge, hopefully a pullback here but this rebound may have small legs at least.

[Ratbastrd]

Long time lurker, love to keep an eye on this board during the day.

I am curious if anyone is watching the increasing delta between VIX and VXX over the last week or so. Today it is quite pronounced.

I realize VXX is looking at mid term futures, but this only complicates the issue from what I can tell.

The VIX term structure appears to be steepening, which is effectively increasing the apparent delta between VXX and its target.

Does anyone have any idea why VXX is down today, while VIX is up sharply today? This looks like a good opportunity, but I don't want to make a move based on faulty analysis.

Thanks!

[fehro]

Long time lurker, love to keep an eye on this board during the day.

I am curious if anyone is watching the increasing delta between VIX and VXX over the last week or so. Today it is quite pronounced.

I realize VXX is looking at mid term futures, but this only complicates the issue from what I can tell.

The VIX term structure appears to be steepening, which is effectively increasing the apparent delta between VXX and its target.

Does anyone have any idea why VXX is down today, while VIX is up sharply today? This looks like a good opportunity, but I don't want to make a move based on faulty analysis.

Thanks!

Yup watching it all day...somebody knows something?.. or just wanted to blow out the stops/weak hands on the VXX, UVXY, etc... to pick them up cheaper? ..closing action maybe interesting....or not.

[MrMiyagi]

You can get daily VIX option updates here in the form of a webcast.

[auger]

Long time lurker, love to keep an eye on this board during the day.

I am curious if anyone is watching the increasing delta between VIX and VXX over the last week or so. Today it is quite pronounced.

I realize VXX is looking at mid term futures, but this only complicates the issue from what I can tell.

The VIX term structure appears to be steepening, which is effectively increasing the apparent delta between VXX and its target.

Does anyone have any idea why VXX is down today, while VIX is up sharply today? This looks like a good opportunity, but I don't want to make a move based on faulty analysis.

Thanks!

VXX holds a long position in first and second month VIX futures, rolling on a daily basis. Therefore it may not track VIX on a day to day basis.

[Cobra]

3 legged rebound already, not much up, so bears still have last hope. wait.

[Al_Dente]

PAGING MRMIYAGI

[Ratbastrd]

Long time lurker, love to keep an eye on this board during the day.

I am curious if anyone is watching the increasing delta between VIX and VXX over the last week or so. Today it is quite pronounced.

I realize VXX is looking at mid term futures, but this only complicates the issue from what I can tell.

The VIX term structure appears to be steepening, which is effectively increasing the apparent delta between VXX and its target.

Does anyone have any idea why VXX is down today, while VIX is up sharply today? This looks like a good opportunity, but I don't want to make a move based on faulty analysis.

Thanks!

Yup watching it all day...somebody knows something?.. or just wanted to blow out the stops/weak hands on the VXX, UVXY, etc... to pick them up cheaper? ..closing action maybe interesting....or not.

I might be wrong but that doesn't seem feasible. The VXX is tied to the VIX term structure. Imbalance is made up for on a nightly basis. If this was a one day (intraday thing) no problem it is resolved overnight. However were not seeing that. I am assuming this is simply lag from the recent dip and rise of VIX. If this is the case, VXX is a good buy here.

[MrMiyagi]

!!!!!!!! POWER HOUR !!!!!!!!

[Cobra]

we're here. good bull bar and follow through, looks like bears are over.

[Cobra]

fib 50% at 168.74 seems a good target.

[Al_Dente]

RHIGHT had a good post on VXX this morning
http://seekingalpha.com/article/1580262 ... view&ifp=0

VXX tracks the VIX futures, not the equity/cash $VIX
VXX-IV (implied value) is 15.41

http://finance.yahoo.com/q?s=%5EVXX-IV
So VXX is trading at "par", no discount, no premium

[Cobra]

resistance.

[fehro]

wedge retest? SPX 15m

[Anaconda]

Thought the same thing, Fehro. Also, pbar earlier to 168.87, so maybe a little higher before we head down hard-er.

[Cobra]

volume surge, resistance, so may see pullback here first which likely would be bought.

[auger]

RHIGHT had a good post on VXX this morning
http://seekingalpha.com/article/1580262 ... view&ifp=0

VXX tracks the VIX futures, not the equity/cash $VIX
VXX-IV (implied value) is 15.41

http://finance.yahoo.com/q?s=%5EVXX-IV
So VXX is trading at "par", no discount, no premium

Yes, but there is more On the close of the day before VIX option expiration, VXX will hold only near month futures contracts. Each day after that, VXX will sell 1/23 of the front month and buy the second month, so that there will always be a maturity of 30 days. As long as they have a similar price, then the daily rebalancing won't have much of an effect.

Edit:
I should add, that most people are looking at quotes for $VIX, which is an index. What is needed are VIX futures quotes to be able to accurately calculate how VXX will track day to day.