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One Last Ride

Since my previous post, the S&P 500 has appreciated +3.19% to $4,535.43, with the VIX and VVIX depreciating by -10.03% and -9.21% to 16.41 and 105.48, respectively. My last callout only truly referenced how participants were pricing butterfly securities, implied correlation, and general futures and options positioning in terms of notional contracts. Even then, it was apparent a decent portion of the market (particularly on the ES side) was extremely bearish, with the vast majority being bullish (as evidenced by a lower VIX/VVIX/vol contract positing, etc.). From peak to trough of the S&P500's worst week in several months, on 8/13/2021 to 8/19/2021, the VIX appreciated by over 40% from 15.45 to 21.67, the SPX falling -1.39% from 4468 to 4405.80, and the VVIX appreciating by over 10% from 117.81 to 130.41. As was stated in the previous post, the primary risk factor to be considered was an overreaction in implied volatility, which was clearly seen in this time frame.  One more
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The Show Goes On

In an effort to make more consistent posts for this blog, I am going to be posting once per month, at the end of every month. Since my previous post in which I recommended a hedge on the S&P 500, the S&P 500 index has appreciated by +2.83%, with the VVIX and VIX indexes both appreciating by +6.85% and +11.81%, respectively. Since the sudden decline of July 19th, the SPX has risen +3.77%, with the VVIX, VIX, and SVXY (short implied volatility fund, mid-term exposure to VIX curve) -18.27%, -21.33%, and +8.06%, respectively. From July 14-19, the SPX declined -2.65%, with the VVIX, VIX, and SVXY +18.60%, +37.78%, and -9.71%, respectively. One thing I will continue to reiterate is that I am not "bragging" on my "market call-outs", as I believe I do not make those predictions. I am simply summing up the market action during which I analyzed for, and how accurate my expectation for future volatility was. One important clarification: simply because I recommended a h
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Is it time to Hedge?

It has certainly been a while since my last post. Since my recent call out, the S&P 500 index has risen 2.89%, with that of the VIX index declining by more than -16%, and SVXY being up 10.66%. I am in no way bragging on how I can "time the market", because this is not entirely possible. I am simply showing the benefits of using objective information gained from within the volatility asset class, as well as the various derivatives markets that I look at, to create a probability-weighted decision-making process. Now, I will show my reasons as to why the short volatility trade might be put on pause for the near future.  Update on Market Positioning As I have explained numerous times before, I most heavily weight the net positioning of Dealers/Intermediaries more than other categories, simply because I believe that this group has the best shorter-term information available, whether that be in pricing the implied volatility curve, or analyzing order flow. Below is a chart of n
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