Volatility - Convergence, Reverse Calendar Spread

2021年10月26日

Idea for VIX:
- Spot VIX sub 17 (quickly rising), 2 point spread has appeared between spot VIX and front month, with a high degree of contango in term structure, and a significant spread between Treasury volatility (MOVE).
- Daily Roll Yield 0.10~
- Possible to either capture spread, or have a low risk bullish bias.
- Positive correlation right now with Vol and Equities. High demand.

Strategy:
- VXX-VXZ spread, reverse calendar spread, front month-spot (ES or spot VIX options) spread.
- Front month VIX, spot hedged (ES or spot VIX options).

GLHF
- DPT

2021年10月28日

註釋

GDP (QoQ) Atlanta Fed Nowcast revised to +0.2%, BEA number tomorrow morning. Est: 2.7% Prev: 6.7%

GDP shock tomorrow?

2021年10月29日

註釋

U.S. GDP at disappointing 2.0% in Q3 vs 6.7% in prior Q2, missing the estimate of 2.7% by 0.7%.

GDP related volatility took a day to materialize.

AU02Y with a >10 sigma move, possibly presaging a move in the bond market:


AU 2s10s

2021年10月29日

註釋

VIX rejected from the channel today, with front-loaded move in pre-NY (but still a rising trend):



However, Treasury volatility still advancing, while spot yields making large moves today, as well as the dollar making an impressive move. Elevated VX front months gained.

Mutual + Pension fund allocations squeezed a few bps in SPX, but have now completed, with Fed next week. Expecting the convergence move next week.

2021年10月30日

註釋

Rate hike expectations being moved forward via ED market, could it be that tapering will be accelerated?

2021年11月1日

註釋

VIX still trending up, while more Vol components indicating rising market stress:


Should be a big week, with FOMC, OPEC, NFP, RBA and BOE. Expecting equity market reversal midweek-next week.

2021年11月2日

註釋

FUNNY STAT: Last time MOVE was as these levels VIX was at 54!

2021年11月5日

註釋

This week, commercials went record net short indices, and massively long UST (Large speculators are equally short, about to be short squeezed). Havens rose this week with Equities gamma squeezing: Dollar, Swiss Franc, Gold, UST, VVIX + VIX, and this is vs. bullish non-commercial + retail positioning. Big boys are setting up a rug pull IMO. Catalyst/deflation coming. China High Yield will not be contained forever.

2021年11月16日

註釋

First 2 attempts were rejected, yet the Volatility Complex continues to move up, with the equity volatility diverging:


It is equities that always moves last, so holding strong.

2021年11月16日

註釋

November's VIXperation (tomorrow) with a 99th percentile contango

2021年11月26日

交易結束：目標達成

“The most important thing as a trader is to see the opportunity. The others didn’t see what I saw.” - Marc Rich

2021年11月27日

註釋

Nov 26 was the 4th largest single move of VIX in history.