Disclaimer: The information found on this site is meant for educational and informational purposes only. Nothing on this site should be construed as a recommendation or solicitation to buy or sell derivatives or securities or to trade any particular strategy. Trading of derivatives or securities has large potential risk and you must be aware of and accept all the risks. Past performance of any trading system or methodology is not necessarily indicative of future results. No representation is being made that any account will or is likely to achieve performance results similar to those discussed on this website. Hypothetical or simulated performance results have certain limitations and do not represent actual trading.

Wednesday, April 4, 2012

VIX Futures Trying to Break Up

Since the last post, VIX April Futures has tried 3 times to break out of it's recent closing high of 18.35, only to be hammered down intraday to under 18.

1)  On 3/28, VIX Futures rose as high as 19.2 before DIA touched its 20-day exponential moving average (EMA) support and bounced up causing VIX Futures to plunge back to 17.65.
2) On 3/29, VIX Futures hit a high of 18.8 before SPY touched its 20-day EMA support and bounced up, causing again VIX Futures to plunge back to close at 17.3.  3) Finally, today 4/4, VIX Futures rose as high as 18.9 before QQQ touched its 20-day EMA support and bounced up, causing VIX Futures to drop a 3rd time to close at 17.9.

I think it's safe to say that volatility will have a hard time breaking upward until the 20-day EMA is broken on all 3 ETFs, DIA, SPY, & QQQ.  Yet, Fair Volatility Estimate Indicator has been rising slowly but steadily.  It's hard to predict what will happen in the future, but should the 20-day EMA supports break, one could expect a quicker rise in volatility.  As of 4/4, FVE's value is 16.84 compared to VIX closing value of 16.44.  FVE for VIX Futures was at 17.97, while the April VIX Futures closed at 17.9.

No comments:

Post a Comment