GAFNN.com Blog

Online Trading Tool:  Pit IQ (Pit Intelligence) - Daily Online Trader Access to Trading Key Strategies, Setups & Levels live from the CME Trading Floor (Pits) in Chicago.

Tuesday 03/27/12 – Key Futures Trading Levels via CME Pit IQ

Equity Futures:

Online Trading Tool:  Pit IQ (Pit Intelligence) - Daily Online Trader Access to Trading Key Strategies, Setups & Levels live from the CME Trading Floor (Pits) in Chicago.

Tuesday 03/06/12 – Key Futures Trading Levels via CME Pit IQ

Equity Futures:

Online Trading Tool: Pit IQ (Pit Intelligence) - Daily Online Trader Access to Trading Key Strategies, Setups & Levels live from the CME Trading Floor (Pits) in Chicago.

Tuesday 01/24/12 – Key Futures Trading Levels via CME Pit IQ

Equity Futures:

Online Trading Tool: Pit IQ (Pit Intelligence) - Daily Online Trader Access to Trading Key Strategies, Setups & Levels live from the CME Trading Floor (Pits) in Chicago.

Monday 01/23/12 – Key Futures Trading Levels via CME Pit IQ

Equity Futures:

Online Trading Tool: Pit IQ (Pit Intelligence) - Daily Online Trader Access to Trading Key Strategies, Setups & Levels live from the CME Trading Floor (Pits) in Chicago.

Tuesday 01/12/12 – Key Futures Trading Levels via CME Pit IQ

Equity Futures:

Online Trading Tool: Pit IQ (Pit Intelligence) - Daily Online Trader Access to Trading Key Strategies, Setups & Levels live from the CME Trading Floor (Pits) in Chicago.

Monday 01/09/12 – Key Futures Trading Levels via CME Pit IQ

Equity Futures:

Online Trading Tool: Pit IQ (Pit Intelligence) - Daily Online Trader Access to Trading Key Strategies, Setups & Levels live from the CME Trading Floor (Pits) in Chicago.

Friday 01/06/12 – Key Futures Trading Levels via CME Pit IQ

Equity Futures:

The VIX was expected to rise in value and the big gap up between the 3^rd of June closing and the 6^th of June opening proved our forecast were correct. The market opened at 18.4% dropped to 18% on Tuesday, rallied to 18.7% on Wednesday whilst it plummeted once again to 17.7% on Thursday and closed to 18.8% on Friday.

The volatility is now at 6.8% (23.5% monthly) and the plot is displaying a curve which is “about” to hit its equilibrium point at 4.5% (15.5% monthly) and consequently to terminate the mean reverting process.

We warned our readers against a short term explosion of the volatility and effectively so it happened, although our overall forecast on the S&P500’s implied volatility index was bearish.



In fact, the VIX opened at 15.4% rose 18.09% on Thursday and settled at 17.95% on Friday and even if we were expecting a move in the 20% area we can always say this is a good start.

The current volatility is 8.8% (30.4% monthly) and the TGARCH curve is now slightly downward sloping but, even in this case, the decrease in the conditional variance has been primarily caused by a sideways movement of the VIX rather than an effective recovery of the price action.

The implied volatility of the S&P500 options market decreased over the last 5 days and the chart clearly displays a situation where the conditional variance keeps trading within a restricted range. During the last week the VIX Index opened at 18.2% plummeted to 17.07% on Wednesday and settled around 15.98% on Friday.

The volatility is now 6% - 6.1% (20.7% - 21.1% monthly) and the curve seems to be, once again, downward sloping and in the middle of a mean reverting process which will probably end once the oscillation rate achieves the equilibrium point set around 4.5% (15.5% monthly).

The VIX Index moved almost like the VXN and rather than showing an augmented activity, the last week was merely a lateral one. In particular, the market opened at 18.2% dropped to 16.2% on Wednesday but 17.4% was the closing price registered the last Friday.

The volatility is now 4.1% (14.2% monthly) and the TGARCH plot is showing a curve which is not really far from where we left it one week ago because the sideways movement which hit most equity markets kept the conditional variance extremely low.

The VIX Index experienced some ups and downs throughout the entire week. Specifically, the market opened at 17.1%dropped to 16.9% but it then closed to 17% on Friday.

The current volatility is around 5.8% - 6% (20% - 20.7% monthly) and the TGARCH plot is showing a fairly stable curve which should mean revert during the upcoming days.

The last week we forecasted a further drop of the VIX Index and we were right once again. The implied volatility index opened at 15.7% dropped to 15.3% and then closed at 14.7% on Friday.      

The current volatility is 5% (17.3% monthly) and the TGARCH curve seems suggesting an ulterior drop of the VIX Index which, should that be the case, would bring, the market in the 12.5% - 13% area.

The VIX Index went through a quite bearish week although the closing price on Monday was 16.9% whilst Saturday the 15^th the Index bottomed at 15.3%. In particular, after the increase, which has been mainly caused by the American debt problems, the VIX began to drop and touched 15.07% on Wednesday whilst 14.69% was the closing price on Thursday.    

  

The volatility of the VIX is around 6.8% (23.5% monthly) and the chart of the TGARCH curve is still displaying a decreasing process which is probably going to end soon but that will bring the conditional variance of the implied volatility index back into the 4% - 4.5% equilibrium area (13.8% - 15.5% monthly).

The last week we were expecting the VIX to plummet into the 16.5 % - 17% area and the HyperVolatility team was right once again. Specifically, the VIX was trading at 16.5% on Monday but it dropped to 16.9% on Wednesday and closed even lower at 15.3% the last Friday.                                      

The actual volatility is 4.5% (15.5% monthly) but, like for the VXN Index, the volatility touched the mean reverting point and the decrease was too “calm” and too fast.

The implied volatility Index did not perform as well as we thought because the last week we forecasted a further drop of the VIX in the 16.5% area and until Thursday our analysis proved accurate but on Friday the Index rallied to 17.87% changing the scenario and transforming a bearish week in a moderately bullish one.   

Conversely, the volatility of the VIX did not change much because the TGARCH plot is still displaying a downward sloping curve which is now 5% -5.2% (17.3% - 18.3%monthly) and the mean reverting process is now very close to the equilibrium point placed around 4% - 4.5% (13.8% - 15.5% monthly).

The last week we forecasted a drop in the VIX Index and effectively so it was. The Index opened at 19.44%, dropped at 17.7% in the middle of the week and closed at 17.4% the last Friday.

The current volatility of the VIX is around 6.8% - 7 %( 23% - 24.2% monthly) but the curve is still downward sloping highlighting a probable and ulterior plummet of market fluctuations over the next trading days.

The staff of HyperVolatility was right once again!! The volatility rose and so did the VIX Index which opened at 21.1%, increased to 29.4% and then closed at 24.4% on Friday.

The actual volatility is 12% (41.5% annualised) and it is quite likely that the curve will start to mean revert over the next trading days in order to get back to the equilibrium level which is still set around the 4% area (13.8% in annual terms).