Programming note: I had some technical difficulties and had to remove the video component of the introduction. The video kicks back in after the intro but there are times when the audio and video are out of sync. It’s not very distracting, thankfully, since the majority of the episode’s focus is on my charts, not my mug.
In this week’s episode I narrowed my focus to three topics of interest:
- The VIX complex
- The “composition” of volatility
- Tales From The Tape
In the first section, I walk through an informative signal that arose from a divergence between VVIX and the broader measure of implied volatility of VIX options. I then take a quick look at the VIX futures curve throughout January before wrapping up with my answer to a question I received about the recent upward drift of the VIX.
The second section is arguably the most important as I spend some time explaining the interplay between index level volatility and the volatility of the constituents of that index. I also discuss the dispersion trade and what ties all of these together. Spoiler alert: its correlation.
And lastly, in Tales From The Tape, I zoom in on the price action in the Dow on Tuesday and why combining that price action with positioning and the CPI print set me up to get short. Shorting the stock market is a terrible idea in most cases, but sometimes my conditions are met and my system says go, so I go.
Before I wrap things up, I revisit one of my favorite topics: rotation. The Russell continues to lead equities higher, and so far VOLs have mostly accepted this. They’re still most at ease when the Nasdaq is out front, but they haven’t thrown a tantrum yet, which is important.
Here we go!
