where is the volatility for spx?

Discussion in 'Index Futures' started by kiev, Jan 6, 2018.

  1. kiev


    for past 14 months, there hasn't been a pull back over 8 percent, even no a 5 percent pullback, the maximum was 3.7%. who can tell me why? when will it come back?

    i guess there are 2 reasons,

    1)no bad news.
    2) the market was manipulated.

    any ideas?
  2. The Fed is short the VIX
    pk3r1234 likes this.
  3. tommcginnis


    It's not just volatility, but the difference between IV and *realized*: it has shrunk!

    Look on a 2-or3 year graph -- IV is roughly 150% of realized.
    "Oh! No it's not! It's only {maybe!} 120%!!"

    "Oh crap! It's the same!!!!"

    YIPES!!! IV is LESS THAN actual!!!!.

  4. kiev


    so do you think the volatility will come back in a couple of weeks?
  5. tommcginnis


    *I* don't. We have a Big Structural Deal going on right now.
    We're entering another earnings season, and it'll be a (positive) doozey.
    As e goes up, so will p.
    How long will e continue to rise?? The U.S. stocks are very much linked to global markets; the global markets are following Europe; Europe is/has followed the U.S. Result?? We have another goodly couple of years playing a new game called "Global Economic Catch-Up".

    Now, lots of things NON-economic can come in here and change the trajectory, but that's how I am seeing it right now.

    So, when will volatility *return*??? When the e path sees material interruptions. Hiccups. *Vulnerability(s)*..... Right now, if you don't sell it to Helmut, you can sell it to Juan, and if Juan don't want it, Hwa-su or Rama are waving you over......
    Last edited: Jan 6, 2018
  6. kiev


    Sorry, but there are so many years in the past 40 years in which the earnings go up continuously, 2017 is not prominent among them considering the earning increasing. why the volatility is so low in 2017?
  7. sle


    I am sorry, I don’t follow... where do you see implied under realized?
  8. tommcginnis


    I'm on the wrong computer -- but those IV/Historical crossovers have become 'a thing' in the last few months. I'll post a picture later.
  9. tommcginnis


    If you google Earnings Recession, you'll get the idea.
    Or if you notice the last few years...
  10. comagnum


    It's called a bull market - a breakout market. Range is expanding on the upside - volatility in reverse which leads to huge profits - these are the very conditions traders should thrive in.
    #10     Jan 6, 2018