VIX - Settle 290 TicksDown form 398 of the prior Settle.
Contango in the Curve remains strong
but coming in 26% Month over Month.
The VIX Range 20.35 is the LIS
19.70 a break.
VXM1! trade ideas
VIX - (VXX) Settles tomorrow - VXZ @ 96% TomorrowUnfortunately, although the Spread has been cut in half, there will
remain the usual Gap Fill to complete as VIX INDEX (Cash/Spot)
will square Price at the end of tomorrow's Session.
VXX will equal the VIX Index.
_________________________________________________________
Wednesday's will show, surprise, another Gap on the Continuous Contract.
The Gap will be at the 4 PM EST Closing Square Price.
_________________________________________________________
UVXY Fans will not be amused once again. As the UVXY will be front-loaded
in new Decay and perhaps new Lows around 13.89, should 14.46 let go.
This is why the UVXY spends the majority of its time going South.
Unless, of course, there is an Event, then... Katy Bar the Doors.
Katy is a known Degenerate.
_________________________________________________________
Time to trade the VX Complex passed last week, a Retracement did
not develop, although by appearances - it did appear Probable.
Wall Street taketh away.
The One time a Month the Vix can go Vertical came and went.
_________________________________________________________
Where does this leave us?
Where else, defensive with a healthy dose of patience and Cash.
_________________________________________________________
On a Positive note - An accident is very close. China's got Probs,
Bigguns.
Actually the "positive" would be simply a gain in Position Capital.
Positive... yeah, naw. Not at all as, bad arrangements - Este es Muy Mal
por Hente in Todo.
_________________________________________________________
Probability favors a consolidation, but Tuesday has been ALGO Grinder
day for months on end, so we shall see how Yields behave at 8 AM EST
tomorrow, prior to placing any Degenerate Bets @ the Flamingo.
_________________________________________________________
Today behaved as if Price is Consolidating.
For What, Magic 8 Ball suggested - "Ask again later"
VIX - Spread Into Settlement / DEC INDEX Option Structure
The prior 398 Tick Settlement has declined to ~269 Ticks.
__________________________________________________
Daily Low VX Price Objective remains 12.25.
It is difficult to Imagine - A VIX print this Low.
__________________________________________________
December has become a significantly distorted Settlement Month
for Equity Future Contracts
__________________________________________________
ESZ21 - S&P 500 E-Mini (Dec '21)
Implied Volatility: 12.95%
Put Premium Total $422,602.50 (Deep - Out of the Money can Mask Large Decline Potential)
Call Premium Total $10,005,752.50
Put/Call Premium Ratio 0.04 (Extreme Bullish Sentiment)
Put Open Interest Total 771,656
Call Open Interest Total 263,145
Put/Call Open Interest Ratio 2.93 ( Ratio of outstanding positions that need to be set off before or on expiry)
__________________________________________________
Dow Futures Mini Dec '21 (YMZ21)
36,013s +184 (+0.51%)
Put Premium Tota l$3,123,245.00
Call Premium Total $6,532,215.00
Put/Call Premium Ratio0.48
Put Open Interest Total 824
Call Open Interest Total 316
Put/Call Open Interest Ratio 2.61
__________________________________________________
Nasdaq 100 E-Mini Dec '21 (NQZ21)
16,192.75s +170.00 (+1.06%)
Put Premium Total $6,589,153.00
Call Premium Total $30,371,383.00
Put/Call Premium Ratio 0.22
Put Open Interest Total 47,828
Call Open Interest Total 31,758
Put/Call Open Interest Ratio 1.51
__________________________________________________
The Challenge - Who gets paid First, because both will.
VIX - M2 DEC / 3 Days to Roll - Settle Tuesday Close20.10 will be the KEY Level for the M2 CT.
December holds the Keys to today as NOV
is sold...
Unless it is held onto...
We shall see.
_______________________________________________________
A bid for Protection would affect both M1 / M2 until Settle.
_______________________________________________________
Friday - have not had a deeply Red Friday in quite a while.
VIX - Roll to SettleWe will see increased SELLING in M!/V!.
VXX Exit planned for Today's High.
Operators are in a Difficult Place as the Unwind
is gaining complexity.
VX Complex best DEC - JAN for Our Positions
VIX - The most Volatile Day of the WeekToday.
Simple.
Direct.
___________________________________
Plan for wild Algo Driven Intra-Day whipsaws,
buzzsaws and more fun with Jerry.
___________________________________
All but assured.
VIX: 1592 - 1645 Friday's remain unkind to the VX COMPLEX.
These are the 2021 Levels to Watch the ATL and
the Prior Lows.
With VERY LARGE Distortions shaping up in
Arbitrage from the clear control patterns
formed for Volatility...
Danger Lurks.
AS the VXN was making a Daily High, NQ
was performing the same feat.
Caution warranted as this is setting up to
Flash Crash - Potentially and why we are
Positioning for this event.
Tops a process
VIX - CC 17.55 remains the Pivot for Reversal.
It can/does dip into .618 - .764s prior to reversal.
The VIX remains in a downtrend until it breaks.
50% Sells on indexes have traded this AM Session.
Resistance treaded First @ out 988 Target for NQ,
16034 remains the upper Boundary - IntraDay.
___________________________________________
Where is Deep Support on the VIX, we'll find out this week.
VIX - Prior M1 Contract Lows to highs in TradeMind levels for the VIX for October Roll/Settle
November has other Ideas taking shape.
We are quite likely going to see another VX Incident
ahead of November ROLL/SETTLE.
The same applies to the VXN... Put Buying is Non-Existent
as the deranged chasers are all in on Call BETS.
We are positioning in VIX M1/M2 & VXX at Levels.
Listing ahead, near capsize.
398 Tick Spread on Settle... comes into Trade.
Know how to Trade it...
VIX - Day 190 Curve Contango / VXX / VVIX / UVXYThe VIX Roll Yield was 398 Ticks of Spread on Settlement.
It has since come into 336 Ticks VX1/M1 over Spot.
The Curve has remained in Contango for the second-longest
period since the creation of the Volatility Complex in 2004.
273 Days remains the prior longest Contango Duration.
___________________________________________________
Roll Yield close over 20%, the mean is ~ 8.55%. More than 2X
the average.
This implies the continuation of the current period of sustained
lower Volatility.
Intra-Day, compression brought the M1/M2 into Backwardation
a few weeks back, on Close, it traded back to Contango.
___________________________________________________
Traders are clearly Trend following, comfortable with the VOL
Crush as Vol of Vol (VVIX) traded through 105 tp 102.36.
VVIX traded to 100.06 on October 21st during the 15:00 Hourly
Bar.
The Spread Gap to close for the Continuous Contract has a great
deal or room to resolve.
2021 the VX Curve Trend has been Lower, as it was from the ATH
made in 2020. A Daily Downtrend with a clearly defined Price
Objective @ 12.25.
___________________________________________________
Chasing WaterFalls has paid in the VX Curve as Sellers have seen
a continual decline, with few interruptions.
___________________________________________________
The VXX (Constant Rolling 30 Day Maturity) is making new lows.
Price will again on NYSE OPEN - IF the Globex Price Levels hold
from the O/N Ramp and Camp. 20.75 will be exceeded to the
downside.
Uber Kink - UVXY - has made another All Time Low @ 15.70 while
continuing to Ride the downward slopping Lower Weekly Trend Line.
There are a great many "This is It~! (TII) moments in the 1/5X levered
UVXY. It has its teeth pulled long ago when the 2X was cut by 33% to
current levels of 30 Day - All in Positions on VX which has been systematically
Crushed.
Positioning for the Big Lick there has been met with "Capital Relief"...
___________________________________________________
For now, AND this is subject to change... Wall Street has the VX complex
well contained.
How much longer will it last?
It will depend, of course, on how the next two weeks unfold through the
Meat of EPS.
We have the FED and further Taper Talk into early November
___________________________________________________
The VX Complex moves "Out of Balance" - only to be brought back into
"Balance" once everyone has begun Whale Watching Portside.
Starboard list is approaching.
___________________________________________________
There are a number of concerns building within the Equity Complex,
how long will they require to resolve... will depend on how carefully
worded Companies reporting temper their "Inflation Warnings."
VIX - Spread Issue / Friday / Hat TrickThe ES has completed our Price Objective @ 4546 during Globex.
It did exceed it by 1 Tick, 2.5 Ticks short of an ATH.
The VIX falling back to its 50% can provide a Lift to the ES to
new ATHs.
With the widespread on VIX Settle, higher remains in the Trade as the
continued effort to Lift the Equity Complex and turn the weekly
indicators to a BUY is losing momentum...
We will be awaiting the reaction at the prior ATHs.
VIX - November M1 @ 96%This will get interesting as Price begins to resolve the Continuous Contract for the VIX M1/M2.
The prior October Range: 14.70 -24.00
As November begins to square Price is within the Window for the potential of the VIX reversing
Up @ 9.89% of Settlements.
Effectively placing Price in a Desert, a nowhere landscape.
The Monthly Trend is quite Clear with a lower-Price Objective @ 12.25.
What happens this week will provide further insights into whether 4/5 is complete and 5/5
has begun, or we see something entirely different.
Longer-Term TF's favor the Latter for now.
We shall see.
VIX - M1 Completing Lower Daily GapsAs M1 continues the Roll to M2 (November) we see the 2 Primary Gaps
coming into Range
The remaining Gap resides @ 16.20.
The VVIX remains stubborn in its FILL into the Corner @ 105.
It remains in strength during a period of extreme M1 Weakness.
A very good sign, as it indicates out the Curve, there is IMMENSE Support.
Institutions are quietly hoovering up the VX Complex Curve, which in turn
Supports our Trade Plan for the loss of momentum and roll-over to the
200SMAs.
Next Wednesday / Thursday continues to appear as a Pivotal day for this
Counter-Trend.
VIX - Squaring the Continuous Contract October 20, 2021September Closed the @ 19.71 yesterday, an important Level for the
Continuous Contract to Observe, for now, it will change again.
CASH/SPOT VIX @ 17.81 this morning.
CSH Will Converge to M1 (October) into next Tuesday/Wednesday.
There will be a Gap in the Continuous Contract as long as the VX Curve
remains in Contango - presently the spread is 205 Ticks x 1, the VIX trades
@ 5 Ticks.
Convergence will provide LIFT for the Indicies during Roll to Settle as we
indicated and provide the cover for higher Index Prices in the Equity Complex.
Curiously, there is the October 21st Pivot timeframe appearing again...
For September, we have the 19.20, 18.60, and 18.20 as Ghost Levels with
the larger 16.20 GF and 12.30 as the 5/5 extension low once 5/5 completes
for Equity Complex.
VIX - Roll Yield ImportanceImportant Note, the Roll Yield is important for the VXX.
I have heard countless YouTube and Forum Gurus dismiss
the VXX as a Junk Derivative. A Scam...
Nothing is further from the Truth.
That statement demonstrates how there are far too many
"Gurus" with no understanding of Volatility itself.
The VXX is comprised of the 30 day Short Term Rolling Maturity
outline in the prior 2 Posts.
We simply laid the groundwork for how this all comes together
to show how "balance" is achieved for the VXX Instrument....
it is constantly moving from M1 to M2 the Day it Settles.
Hopefully, this was clear enough for those unfamiliar with how
Volatility works in the Futures Markets and how it impacts
ALL Markets.
The Methodology is known, it is based upon VIX Futures in relation
to the Spot VIX >>> SPOT VIX & M1 @ Settle "Converge" then to become
equal in Price @ PAR.
Roll Yield is how the VXX Derives its Price.
VXX is not a STOCK, it is an Index based upon M1/M2.
It simply is a Wash Rinse Repeat cycle Index for M1 / M2 in Constant Maturity.
I received a message asking me to explain this, Hopefully, it is clear now.
VIX - M2 Into Settelment (Next Wednesday)Next Wednesday the M2 will "Settle" becoming the Front Month or M1.
100% of the Constant 30 Day Maturity will be concentrated on this Date.
Each day thereafter, M1 will begin to flow to M2 (December 2021) at a rate
of roughly 3-4% per day, depending on Traading/Calendar Days.
When the VIX Curve is in Contango - M2, M3, M4 higher than M1 we will see
a Gap left as the Continuous Contract Picks up off the prior Ghost levels of
the Prior M1 Contract.
Presently the Values out the Curve by Month:
DEC 22.60
JAN 23.80
FEB 24.35
We see clear Contango as Prices are higher out the Curve.
VIX - M1 Roll Begins 2DayThere will be 3 important charts for the VX Curve
1. M1, the Current Contract (October) which will see Rollover begin to execute.
2. M2, the next month forward Contract (November)
3. The Spread or Roll Yield Capture.
For the purposes of Settlement next week, we will Observe how CASH/SPOT VIX
squares with the settling M1 and Begin to see 100% of M1's Commitments flow to
M2.
VIX - GAP FILLED ON DAILYAll one needs to know.
Extreme caution is warranted here.
I often do not include the larger Dialy targets for the VIX
at the Lower Extensions for Price AFTER 4/5 Completes.
12.30
VIX - Trade Plan for VOL CRUSH ReversalAs Roll / Settle approaches for the VX M1 - M2 --- they are attempting to
fend off the 50/200 cross for the VIX... good luck riggers on the trigger.
M2 will appear to have a Gap as the Continuous Contract
Squares.
Typically we see a front run of Volatility ahead of Roll and things
pickup again after settlement as Wednesday to Friday is EOW
and decision time.
SO much depends on Yields, it cannot be overemphasized. The slightest
move there sends Equities lower rather quickly. Methodically but we see
how the Equity Complex responded to the small move at a pivotal price.
A print of 1.69 and then 1.571 spooked "them"
Were we to throw over the 1.63 level, this can simply implode on its own,
just as everyone was getting comfy with the Retracement.
Tomorrow's macro Data along with next week will be all about the Taper,
so the final hour will require a large effort to bring down the 10yr Yield and
bring up Equities, ideally, they need to close at or near the highs again... or
they are left to Globex.
Asia and the EU isn't going to be too keen on bag holding while the cost of
borrowing continues to rise.... they need this up, up, up.
The CASH/SPOT VIX traded down to 19.07 today prior to
Put buyers again bidding the lows.
We saw the VIX trade 20.00 - the month's long Pivot... eek,
again? It's one enormous magnet for Price time and again.
80 Ticks below is the Gap Fill... just fill it already... get it
over with so Price can move on.
This is not Retail, it is Hedge Funds, Insts, and Pros who are
supporting and adding Protection to offset what they could
not unload on the last Dump.
We saw the VXN Dip in under 23 to 22.89 and reverse as the
10 Yr Yield began to test 1,57 ~ currently at 1.569.
Globex will be required to gain traction again, there is another
panic shaping up, one that will catch the Herd completely off guard.
The VVIX is behaving as it should... providing a clear warning again
of what is ahead.
The next 24hours is critical, as this developed we needed to see
a few things... they have appeared.
There is a very large termor ahead.
VIX - Friday RangeAnticipate the Globex Gap Up to return
as the VIX tests 22.40s - the Daily Pivot for the
VIX.
The VIX exceeded its lower Objectives,
on the Daily - 22.40 was the Level.
The Sell has the potential of providing support
to the Indicies as it is Friday.
A great deal will depend upon Employment Claims,
Flash Services and Manu PMI.
In turn, it can pivot at 9:30 AM EST, I am using
yesterdays 9:30 Pirce for Pirce @ the NYSE Open.
RTH Gaps remain overhead for the Indies.
1/4 to 1/2 Size today.
VIX - Daily Contract Range ( NQ ES YM )The VIX broke its .500 by 2 Ticks to pull back towards its 22.25 Support Level.
VXN, no different, the pullback towards its Support from the Measure move of
the GAP to the Highs.
The indices will complete their retracement measured moves ahead of the
FOMC tomorrow, entirely normal after yesterday's extremely large Volume Sells.
We anticipated a Retracement back up ahead of the FOMC. It is normal and useful
as the SELL Fills in the DOM await.
Price will move to its 200SMA after this retracement is complete.
The Die as they say is cast for Lower Prices, as we have indicated the 200SMAs
will not hold but create a failure towards the 400SMAs.
_________________________________________________________________________
NQ - Daily Range 14807 - 15708
The retracement Levels for SELL Fills:
15258
15364
Gap Fill Open
The Objective is 12754
_________________________________________________________________________
ES - Daily Range 4294 - 1550
The retracement Levels for SELL Fills:
4421
4452
Gap Fill Open
The Objective is 3982
_________________________________________________________________________
YM - Daily Range 33478 - 35548
The retracement Levels for SELL Fills:
34512
34753
Gap Fill Open
The Objective is 28.200 to 31,000
________________________________________________________________________
Summary
Market Structure observations proved to be correct. The Trade Plan was executed and
closed successfully.
The Markets are weakening and moving to their 200SMAs, we do not anticipate this
the level will hold but move lower towards the 400SMAs.
Divergences that had been building for several months came to pass.
3x and 4x divergences take time to resolve, we are nowhere near this in
time.
As this unfolds it will fool a great many who have been trained to BTD.
Inexperienced Traders are now touting Dow 37.000.
Not going to happen, Price has a great deal of work in a Southerly Range.
The Flash Crash began and ended yesterday. It will be back in force again shortly.
Creating Lower Lows.
We will see where the Backtest attempts to gain its FILL. The trendline or the
Gaps above.
There is no Gap and Trap, our indicators remain Bearish.
Pirce has failed the Momentum Line.
The 100 SMAs were tested, for now, the 50SMAs could be backtested with an
overthrow.
ROC's should return to their respective Centerlines @ 0.
Micro Counts completed, a reversal is to be anticipated.
_______________________________________________________________________________
Any retracement higher will be met with further and intensifying SELLS.
"Buy the Dip" will be crushed again, after this retracement.
The VIX remains the Guide.
Trade Safe and Prosperous.
- HK
VIX - OCT / VIX & VXNFrankly this is all we need to watch, the VIX
has consistently been Bid into Settlement only
to fall back to LT Support.
Will we retest the Highs or come up short and continue
the Institutional SELLs.
ES - 4451.50 is the Support Level for ES / 3493 - 3498 - 3509 - 3512 - 3521
YM - 34527 Pivot / 34994 Objective
NQ - 15388 Pivot for higher and Micro Support
We are SOH until 10 AM EST and watching how Macro Data impacts Price levels.
It will be all quiet until the FED next Wednesday.
The buyers strike was filled on the Squeeze, is there Fuel left?
We shall see.
DX - DX/JPY - Yields indicate Risk Off remain in trade.
Flip a Coin, it will depend on BR / VG / FED and Inst's sitting on Hands for higher
levels.
*** Our bias remains R I S K OFF at levels for reversals.
VIX - Potential for an Index Squeeze is building - CautionToday will determine as to whether this SELL takes a breather and provides
a large retracement for the ES YM RTY and NQ
OR Continues
Buyers are on Strike, Sellers need to be the new Buyers.
VIX Settlement is today - Price has a Gap to Fill Below.
We will be waiting for the Range within the Micros and larger Daily
Timeframes to resolve prior to entereing.
_______________________________________________________________
FED annouced new Coupon Purchase Schedule and we see there is
Support once again.
SOH Until NYSE open and 10AM Inst Open.
Prosperous trading - HK
