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Friday, August 22, 2008


volatility curve warning

this SPX volatility curve screen via futuresource is showing that the somnolent cash volatility commented on by adam warner is low enough vis-a-vis its 3- and 6-month futures that it may be reflecting complacency. at least in the recent past, when the cash VIX has approached 80% of its forward futures, a turn down has been in the cards. note the signal of the may high in the chart capture; the picture looked very similar around the time of the christmas 2007 high point as well.

bill luby also comments.

i further run a simple analytical screen of both VIX and VXN, a standard MACD of which is good at catching turns, particularly in bear markets (or at least such was the case 2001-2003 and since 2007). it's flashing another potential warning of a downturn, with a confirmatory crossover signal due in short order.


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