{"id":12851,"date":"2017-06-05T17:45:05","date_gmt":"2017-06-05T17:45:05","guid":{"rendered":"http:\/\/www.t3live.com\/blog\/?p=12851"},"modified":"2017-06-05T18:37:58","modified_gmt":"2017-06-05T18:37:58","slug":"the-sub-10-vix-is-about-to-set-a-crazy-record","status":"publish","type":"post","link":"https:\/\/blog.t3live.com\/2017\/06\/05\/the-sub-10-vix-is-about-to-set-a-crazy-record\/","title":{"rendered":"The Sub-10 VIX Is About to Set a Crazy Record"},"content":{"rendered":"

Min Zeng of the Wall Street Journal just Tweeted<\/a><\/strong><\/span>\u00a0a very interesting stat about the VIX<\/strong>:<\/p>\n

$VIX at 9.75, on pace to close under 10 for the seventh time this year–the most
\never.<\/em><\/p>\n

I double-checked the data and indeed, Zeng is correct.<\/p>\n

But taking a deeper look at the data (my data set goes back to 1990), things get even more bizarre.<\/p>\n

All 6 of 2017's sub-10 closes in the VIX happened on May 8 or later. (remember, today's would make lucky number 7)<\/p>\n

And if get another sub-10 close, that would mark 5 in the past 7 sessions.<\/p>\n

Since 1990, the VIX <\/strong>has NEVER closed below 10 in 5 out of 7 sessions.<\/p>\n

So it's on the verge of a truly incredible record.<\/p>\n

Already, the VIX has finished under 10 in 4 of the last 6 sessions. This has only happened 3 other times since 1990.<\/p>\n

Those 3 other occurences were on 12\/28, 12\/29, and 12\/30 in 1993, during a streak when the VIX had 4 straight closes below 10.<\/p>\n

So the post-election collapse in volatility<\/a> <\/strong><\/span>truly is remarkable.<\/p>\n

Now let's take things a step further.<\/p>\n

Prior to May 8, 2017, there were only 9 sub-10 closes in the VIX.<\/p>\n

That's right.<\/p>\n

Just 9 out of 6,891 trading days — or 0.13% of the time.<\/p>\n

And now we're going on 5 in just 7 days — or 71%!<\/p>\n

This looks insane, but let me explain why it's perfectly logical.<\/p>\n

The VIX represents expected volatility<\/a><\/span>.<\/strong><\/p>\n

And when actual market volatility goes to near-zero<\/a><\/strong><\/span> — as it has since President Trump's victory — the VIX follows.<\/p>\n

Therefore, the VIX' behavior is entirely logical.<\/p>\n

Anecdotally, I've been hearing a lot of traders chat up long positions in VIX-related instruments like VIX calls or VXX calls, or plain old SPY\/SPX options.<\/p>\n

I'll just leave you with one of the great all-time market one-liners:<\/p>\n

“The market can stay irrational longer than you can stay solvent.”<\/em>
\n-John Maynard Keynes<\/p>\n

2017 has been BRUTAL to traders betting on a rebound in volatility.<\/p>\n

You can know why it should happen, but you had better know when, or else you'll be eaten alive by time decay, one penny at a time.<\/p>\n

So if you're going to put your chips down… be very careful.<\/p>\n","protected":false},"excerpt":{"rendered":"

Min Zeng of the Wall Street Journal just Tweeted\u00a0a very interesting stat about the VIX: $VIX at 9.75, on pace to close under 10 for the seventh time this year–the most ever. I double-checked the data and indeed, Zeng is correct. But taking a deeper look at the data (my data set goes back to 1990), things get even more bizarre. All 6 of 2017’s sub-10 closes in the VIX happened on May 8 or later. (remember, today’s would make lucky number 7) And if get another sub-10 close, that would mark 5 in the past 7 sessions. Since 1990, the VIX has NEVER closed below 10 in 5 out of 7 sessions. So it’s on the verge of a truly incredible record. Already, the VIX has finished under 10 in 4 of the last 6 sessions. This has only happened 3 other times since 1990. Those 3 other occurences were on 12\/28, 12\/29, and 12\/30 in 1993, during a streak when the VIX had 4 straight closes below 10. So the post-election collapse in volatility truly is remarkable. Now let’s take things a step further. Prior to May 8, 2017, there were only 9 sub-10 closes in the VIX. That’s right. Just 9 out of 6,891 trading days — or 0.13% of the time. And now we’re going on 5 in just 7 days — or 71%! This looks insane, but let me explain why it’s perfectly logical. The VIX represents expected volatility. And when actual market volatility goes to near-zero — as it has since President Trump’s victory — the VIX follows. Therefore, the VIX’ behavior is entirely logical. Anecdotally, I’ve been hearing a lot of traders chat up long positions in VIX-related instruments like VIX calls or VXX calls, or plain old SPY\/SPX options. I’ll just leave you with one of the great all-time market one-liners: “The market can stay irrational longer than you can stay solvent.” -John Maynard Keynes 2017 has been BRUTAL to traders betting on a rebound in volatility. You can know why it should happen, but you had better know when, or else you’ll be eaten alive by time decay, one penny at a time. So if you’re going to put your chips down… be very careful.<\/p>\n","protected":false},"author":2,"featured_media":10776,"comment_status":"open","ping_status":"open","sticky":false,"template":"","format":"standard","meta":{"footnotes":""},"categories":[2],"tags":[9,10],"class_list":["post-12851","post","type-post","status-publish","format-standard","has-post-thumbnail","hentry","category-articles","tag-vix","tag-volatility"],"_links":{"self":[{"href":"https:\/\/blog.t3live.com\/wp-json\/wp\/v2\/posts\/12851","targetHints":{"allow":["GET"]}}],"collection":[{"href":"https:\/\/blog.t3live.com\/wp-json\/wp\/v2\/posts"}],"about":[{"href":"https:\/\/blog.t3live.com\/wp-json\/wp\/v2\/types\/post"}],"author":[{"embeddable":true,"href":"https:\/\/blog.t3live.com\/wp-json\/wp\/v2\/users\/2"}],"replies":[{"embeddable":true,"href":"https:\/\/blog.t3live.com\/wp-json\/wp\/v2\/comments?post=12851"}],"version-history":[{"count":6,"href":"https:\/\/blog.t3live.com\/wp-json\/wp\/v2\/posts\/12851\/revisions"}],"predecessor-version":[{"id":12857,"href":"https:\/\/blog.t3live.com\/wp-json\/wp\/v2\/posts\/12851\/revisions\/12857"}],"wp:featuredmedia":[{"embeddable":true,"href":"https:\/\/blog.t3live.com\/wp-json\/wp\/v2\/media\/10776"}],"wp:attachment":[{"href":"https:\/\/blog.t3live.com\/wp-json\/wp\/v2\/media?parent=12851"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/blog.t3live.com\/wp-json\/wp\/v2\/categories?post=12851"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/blog.t3live.com\/wp-json\/wp\/v2\/tags?post=12851"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}