Huge drop in VIX at the close

Discussion in 'Trading' started by reno4nook, Jan 5, 2006.

  1. The VIX made a huge .40 point drop in the last 5 minutes of trading today...

    Any ideas why?

    Is someone bullish on tomorrow's employment report?
  2. More than likely "they" wanted to short gamma/vega more than simply making a direct play on the report. $.40 is quite a move with vols this low, but not rare. Remember that the VIX is updated when trades are made, and a lot of these strikes aren't terribly active. Most of the action is in atm strips out to 30 deltas.

    There is a lot of early-bird weekend markdown of vols due to the weekend decay. The street has to mark down vols since they can't compress time. :p
  3. Of course! Everyone knows that Friday is Dream Day. Or can you remember any report which was bad in the last 5 years?
  4. Did the big VIX drop at yesterday's close forecast a nice market rally?

    Well it sure looks like it. :p

    Has anybody ever seen this scenario before?
  5. There is no clairvoyance here. It's simply a play into the post-release vol drop. Do you think it's coincidental that we saw a drop in VIX before a pre-open econ release coupled with the weekend?

  6. exactly correct..

    no fear anymore about going long into a weekend!!

    Friday=buyday for free money$$$
  7. If anyone's interested, the VIX rose .24 in the last 5 minutes of trading today.

    The last big late move (as noted above) in the VIX was followed by an 11 point gain in the S&P the next day.

    Don't know if today's jump up was big enough to forecast a 10pt drop in the S&P for tomorrow, but it was interesting.

    S&P Futures already fell over 4 points in after hours trading.