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Strategies & Market Trends : John Pitera's Market Laboratory -- Ignore unavailable to you. Want to Upgrade?

To: John Pitera who wrote (18767)	2/23/2017 6:27:55 PM
From: John Pitera	3 Recommendations Recommended By ggersh roguedolphin The Ox Read Replies (1) \| Respond to of 33421

March - June VIX Futures daily charts --Interesting how the VIX Futures bottomed out on Feb 15th and have been continuing to head higher each day.... as the market indicies have headed higher and higher over the ensuing week... March VIX Futures contract April VIX Futures contract: MAY VIX Futures very interesting how all of these forward months contracts have moved up so much since February 15th June VIX Futures Sept 2017 VIX Futures contract Here is the VIX index ...the value that we most commonly see quoted and which is the basis of most discussions of what the VIX volatility level is trading at. SO what are the Futures contracts telling us? Here is a 60 minute chart of the March VIX Futures from Jan 25th through Feb 10th..... it includes Feb 1st, which the above daily chart is showing the VIX having a 9 handle briefly.. hitting a low of 9.97 that day. The Futures did not have the type of sustained upmove that we have seen since Weds. Feb 15th. Here is the 60 minute March VIX Futures from 02/08/17 thru the 5 pm close today 2/23/17 Thoughts on Volatility Yesterday we mentioned the possibility of a mixed VIX futures curve as levels move back towards historical averages. That is to say, *there is the possibility of the curve exhibiting both backwardation and contango over different parts of the curve.* As a reminder, here is the VIX term structure as it sits currently, *a market squarely in contango.* In a few of the charts below, note that in certain periods of elevated VIX levels, the term structure does not move seamlessly from contango to backwardation. As we've mentioned previously, early on in 2015 we experienced periods of elevated volatility. Above we see the example of *what VIX term structure looks like when the market is likely pricing in a specific binary event in the near future. Front-month levels are elevated, with the market charging a steep premium relative to 60- or 90-days out. Observe in this chart, taken immediately after the Brexit voting results came through, the front-end of the VIX curve, even out to approximately 6-months to expiration exhibited backwardation, with the expectation that volatility would come back down slightly in the future. Interestingly, here we see the back-end of the futures curve in contango, with deferred-month sellers demanding a premium over mid-term.* We bring these examples to you today to show that there are many possibilities for the VIX futures term structure other than what we've seen recently, contango throughout the entirety of the curve. Look for us to explore these scenarios more in the future, with possible strategies to play a VIX market in either backwardation, or for those times when the term structure is mixed. Today was an outside reversal day in the NDX ignore the very last candle as that is the 17 minutes of action that started at 6 PM eastern tonight in the futures. The Daily Chart -- official trading hours The SMH semiconductor index has been exceptionally extended above it's 200 dma... of course NVDA was beaten up on over the past several days... and the downgrades were there today with 1 5 star analyst moving it from a strong buy all the way down to a sell.. the semi's are almost getting to be the way the IBB was back in 2015.. Message 30157794 John