Markets
VXN the Nasdaq fear indicator, VIX the S&P 500 fear gauge
The blowup in stocks and volatility (which move in opposite directions) has been telegraphed for weeks now. As this selloff began at the start of October, I noted for our subscribers and on Twitter (October 10th) the move in the UVXY, big as it was at the beginning of October, paled in comparison to what […]
The blowup in stocks and volatility (which move in opposite directions) has been telegraphed for weeks now. As this selloff began at the start of October, I noted for our subscribers and on Twitter (October 10th) the move in the UVXY, big as it was at the beginning of October, paled in comparison to what that ETF did during the February 2018 selloff.
Moving from $35 to $47.50 was just the appetizer. The feast came today (October 24th) when the UXVY hit a high of $65.
Was this enough? Given the velocity of the selloff in the final hour, you have to recognize the panic that such a move implies. When we get such moves and palpable fear in markets, it usually is a sign that we can bounce. Sustainability will be the key, can we hold yesterday’s low and turn that into a base? That will be learned over the next few sessions.
VXN the Nasdaq fear indicator
While the UVXY is 1 1/2 times the S&P 500 VIX the real impact today was the dramatic 4.4% move of the Nasdaq. We measure the volatility of the Nasdaq with the VXN, and it made another HUGE move today.
Since October 4th the VXN is up 75%, as the Nasdaq tumbled 11%.
The spike in implied volatility of the QQQ hit 36.92% today.
That’s against its September avg implied of 18.8%
VIX the S&P 500 fear gauge
As to the broad market non-leveraged volatility measure, the VIX itself, we had some pretty huge volumes in that contract as well.
The average volume in September was 505,000 puts per day and puts led calls on avg 2:1 each day.
Today (October 24th) the puts traded 1.1M contacts (2x normal).
QQQ Put Activity
The most active puts on the QQQ (Nasdaq 100) were the November 160 puts which traded 50,000 contracts and ran from $1.06 at the open to $3.28 at the close
The October weekly expiry QQQ 165 puts traded 40,000 contracts and exploded from $.24 at the open to a high of $2.54 on the close. That’s over 1000% (technically 10.58x) return.