Looking Ahead At VIX & VIX Futures Near All-Time Market Highs

The stock market has been rallying in full force over the past month with the S&P 500 up 7.2% since it put in its low on 6/24.

VIX has fallen 34.5% since that date with VIX futures following suit across the board (see chart below), driving VIX-related ETPs accordingly:

  • XIV:  +40.7%
  • ZIV:  +16.6%
  • VXX: -30.0%
  • UVXY: -52%

  • Our Daily Forecasts have performed well over this time, with the VXX bias shifting from positive back to negative on the evening of 6/21...

    ...and the VXX Spike risk dropping back below the danger zone (60%) on the evening of 6/25 and staying there ever since.

    Actual historical volatility of the S&P 500 has started coming into play to hold the VIX up a bit. HV60, the actual volatility over the past 3 months (60 trading days), is serving as a floor to the VIX, as can be seen in the chart below.

    For trading of VIX ETPs over the coming weeks what's important to note is...

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