Rise And Shine!
Get outta bed, sleepy head!
OK. Found myself awake at 5 am so here you go!
The VIX Mix was unchanged yesterday, hanging in at a bullish 80% with 14 of 17 components also in the green.
That’s eight green bars in a row and another new high for our trend indicator, the 10-day moving average of the Mix.
Regular readers know that we have had one eye on the compressed range of the VIX. As a reminder, when the Bollinger Bands are narrower than the Keltner Channels, we have what John Carter first labeled the “Squeeze.” It can indicate a range that is abnormally quiet and often leads to a strong move in one direction or the other (he uses it to identify potentially explosive option trades on volatile stocks).
As shown below, VIX had a run of 18 trading days with the Squeeze “on.” That ended on Monday but is one of those occasional duds where VIX drops enough to push the BBs outside of the KCs. We will continue to keep a close eye on this because it won’t take much to re-engage the squeeze and history says that many vol spikes come out of these quiet periods. Could be just around the corner.
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The curse of the frequent traveller is waking up at times inappropriate to the current time zone...
At least one vocal member of the Twitter-Vol-Industrial complex is pointing to June quarterly expiration as a possible turning point, or at least a time of increased volatility. If you look at VIXMix for previous expirations, does it show anything similar?