Thursday, November 13, 2014

Unusual VIX Divergence

Taking a quick look around this morning one of the things standing out besides some pretty parabolic looking starts is VIX short term futures and spot vix, both notably divergent and not in the way in which you'd usually suspect, the "Whack-a-VIX"...

 This is spot VIX in blue over a longer period vs SPX in green with SPX prices inverted since they move opposite each other, the inversion of SPX prices allows you to see what the normal correlation should be as you see the two coming down together, but look to the far right and notice VIX refuses to move lower as SPX moves higher, it's a near mirror picture of XX below....

VIX short term futures refuse to move down on SPX moves higher, again an apparent strong bid under VIX futures.

TICK is also notably divergent from this kind of move, not only in intensity as it should be in the +1250-+1500 area, but the trend as well..
 TICK this morning in a very low range of +500/-500 and trending down.


HYG High Yield Corporate Credit has also badly diverged, worse than yesterday.

Interesting move...


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