Bullish falling wedge has it's run up.

Klatuu

Pebs,

The Major difference between the $VIX and VXX is this: The $VIX measures the premium the market as a whole is getting for options that are being sold. This is calculated automatically, like other indicies. Many large funds and firms like to hedge their overall market positions and found the VIX moved opposite to the market in general (a negative correlation). So, the exchange responded by creating a futures contract (VX) which was tied to the $VIX as it's underlying security. As the $VIX rose, the contract would have more value and it's price would rise. However, they added a feature to this contract not normally seen in the USA; they made the contract conform to European Style of contracts rather than the American Style of contracts. What difference does this make, you ask?

A European contract cannot be called away from the seller until the end of the month, while an American Style contract may be called away (assigned) before it's expiration date. While this sounds like a little detail, it has the effect of not moving prices in step with the $VIX on those futures contracts (VX). This gives the buyer and seller quite a bit more discretion in determining price for the duration of the contract, except during the last day or so of expiration. Only at expiration -settlement, does the price of the contract have to come close the $VIX index. (It's actually the first tick of the Wednesday after the Tuesday the contract expires, but that's too much detail). So, that explains why the VX futures contracts don't exactly track the $VIX. Now, why doesn't VXX track the $VIX?

Since the $VIX is tradeable only through the VX futures contract, an ETF/ETN must have an underlying security on which to trade, meaning something has to have a real value attached to it when creating a financial derivative product. So, the stock of the ETF VXX uses the VX contracts and it (the  VXX) needs to track the price of the underlying. Hence the VXX is a proxy for the VX contract which approximates the $VIX like it's being held together with a mile long rubber band.

I hope this explains why you see the difference between the 4% upmove in the $VIX and the 0.8% down move in the VXX. You can explain it away as 'anticipation'. Buyers and sellers are anticipating what the contract price will be near expiration rather than what it will be tomorrow.

BTW: The VIX Options are tied to the VX contract, so, it doesn't offer any tighter relationship to the $VIX than VX.

Klatuu

Thanks,  I missed that.

Here's a shot from the CBOE, it looks high, but not outta whack. At least not using this data. Maybe you have another source?

Klatuu

Klatuu

I thought this was interesting. Also Russell 2000 hasn't made a lowere low today as well.

Klatuu

Klatuu

The dollar looks like it's set up for a wave 5 run after pulling back 38% from it's recent high. The first chart is over the last month while the second chart is from today and overnight. Notice the wedge. I've got a fill in at 82.300.

Klatuu

More support was seen this morning with heavy buying at the 8.25 - 8.350 area of DX. Here's a prior postwith a narrower time frame. The following chart is a longer term view showing where these lines come from. We may see a reversal in the downward trend from here. The second chart below shows today's volume.

Klatuu

While it's coming into resistance, over the past year NGD been a steady climber for a gold stock. Above the gap at 5.69 is also a fib extension resistance of 38%. I've been in for a few days, yet activity has been picking up.

Klatuu

The dollar looks like it might be headed to 80.000, near a 76% fib fan line and some old support. The 200dMa is also slightly above that, so expect some support soon.

Klatuu

Since a 2% climb in the VIX would yeild a 1% drop in the SPY this would mean:

100 * (27.63-25.00) /25.0 = 10.5 %

so, (100 - 10.5/2) * 110.10 = 104.31 SPY

That's quite a drop.

Klatuu

currently $WPCVA (TradeStation CBOE ticker) is showing 0.2753 for ALL CBOE products...so it does jibe with the OEX only Put/Call

Now, we just need a slight wind and the bears to go fishing instead of looking up our tree.

Klatuu

http://www.bloomberg.com/apps/news?pid=20601039&sid=a3hdg31PUmp8

Apparently the prior govt was lying about the reports it was publishing  to the world as well.

Klatuu

Matt,

Missing audio on this video.  Thanks for posting this indicator.

Klatuu