Thursday, October 3, 2013
Let's have a look at fear for a sec, well not really
Here's the $VIX, which is not a fear index. It is simply an index related to the demand for risk protection through options.
Normally when it gets above +2.5SD, it will move back within its 2SD lines and eventually even retest its EMA(16).
Here's XIV, an ETF which as far as I know shorts the short vix. Or something. It goes up when the S&P goes up, let's put it that way.
Big move down. So I guess there's real fear out there, though it certainly hasn't shown up yet in the SPY. In fact, I'm thinking maybe this means people are buying downside puts more than they're selling stocks.
Here's the $VIX term structure:
I'm not buying XIV right now, but it's certainly in the back of my mind.