Despite last weeks move and specifically Friday in the QQQ, the risk on environment didn't deter safehaven buying in treasuries with the 10 year yield closing down five basis points at 1.909%.
Theoretically, this would be expected in a head fake move as risk assets are unloaded and institutional money rotates into safe haven assets.
I've noted and posted numerous times over the last week or two, unusual 3C activity in VIX futures. The reason I say unusual VIX futures activity is because in the past VIX futures have not given the best 3C signals as compared to something like VXX (short term fixed futures).
Here are a couple of charts of VIX futures...
VIX futures 1 min. Typically when we do see divergences inVIX futures, it's usually only on one minute charts like this. About a week ago I showed multiple time frames that where migrating to stronger divergences which I noted at the time was odd for VIX futures.
We now have a leading positive divergence VIX futures all the way out to the 30 minute chart with the bulk of the leading divergence around April 20. This is odd because it is very rarely seen on time frames this long in VIX futures specifically, not VXX.
Speaking of which… the theory is correct that strong hands are handing off risk assets to weak hands and rotating into protection, the charts below would make a lot of sense. I know there are quite a few, But I like to use multiple timeframe analysis and multiple asset confirmation.
VXX= Short Term VIX futures
UVXY= 2x leveraged long Short term VIX futures
XIV=Daily Inverse Short Term VIX Futures (the opposite of VXX and trades with the market unlike VXX/VIX which trades opposite the market. Positive divergences in VXX and/or UVXY would indicate protection is being bid via VIX futures. A negative divergence in XIV would be confirmation of positive divergences in VXX and UVXY.
VXX
2 minute intraday with a very interesting divergence late Friday and into today.
This is the same two minute chart showing a longer trend view with a strong positive divergence taking place around the 20th of April.
VXX 3 min shows migration of the divergence as well as 20th of April standing out and today's increased 3C upside.
VXX 5 min trend shows excellent 3C confirmation on the downside trend and a clear change of character to a positive divergence again with 20 April standing out. I love these kinds of charts because they show 3C's accuracy in the past with a new change in character.
The same can be said of this 15 minute VXX chart
As well as this 30 minute VXX chart with April 2nd highlighted in red on the time axis.
VXX 60 min
UVXY 2x long VXX
UVXY 2 min again with a clear change in character and positive divergence with April 20th also standing out.
UVXY 5 min trend showing 3C confirmation on the downtrend and the local change of character which is well formed into 20th of April.
UVXY 15 min by now I'm sure you can see the 3C confirmation and change in character to a positive divergence.
UVXY 30 min
XIV-Daily VIX Inverse (the opposite of VXX), remember negative divergences on these charts would confirm the positive divergences on the VXX/UVXY charts above.
XIV 1 min showing the same intense negative divergence from Friday into today as we saw above on the VXX intraday charts.
There seems to be some heavy underlying activity this morning.
XIV 2 min trend, once again 20th of April plays a unique role.
XIV 3 min
XIV 15 min
XIV 60 min change in character on a very strong chart of underlying money flow.
This is the XIV daily chart. Note the concept of a bullish reversal candle such as the hammer at the white arrow on an increased volume, Which in my opinion makes these candles 3 to 4 times more likely to be effective. Also note the bearish ascending wedge into lower volume with Friday producing a DOJI (bearish reversal candle) and today set up to possibly turn into a bearish engulfing candle which I made a crude drawing of below. Such an event would be strong confirmation of a downside reversal. Remember XIV is the opposite of VXX and it trades with the market.
VXX and UVXY are on my trade idea watch list (long), although I have not caught out the idea yet.
No comments:
Post a Comment