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Strange VIX, SKEW, SP500

edited June 2023 in Other Investing
On Monday 6/12/23, VIX up on up market day was unusual. SKEW also was up (i.e. puts more expensive than calls).
Do the FOMC on Wednesday and options expiry on Friday explain this?
Seemed slow news day.

VIX1D 16.75 +44.52%
VIX9D 15.35 +15.50%
VIX 15.01 +8.53% (that is really VIX30D)
SKEW 157.71 (very high) +3.23%
SP500 4,338.93 +0.93%

https://finance.yahoo.com/quotes/^VIX1D,^VIX9D,^VIX,^SKEW,^SPX/view/v1

Comments

  • edited June 2023
    The traditional VIX gained 8% today which is a big move. And the 1-day VIX galloped ahead. Very unusual day for sure. NYMEX fell 4% to $67 - a possible recessionary warning. That on the heels of Barron’s bullish call over the weekend. Don’t laugh. I believe Barron’s commands a lot of respect among experienced investors. Gold has been unusually subdued for a few weeks - also strange. Fell early today and then recovered most of its losses later in the day.

    I’d guess @yogibearbull ‘s focus on the Fed’s Wednesday’s rate decision is the best answer to this. It’s a foregone conclusion they’ll pause. So the real significance will be in whatever narrative they attach. I’m also thinking there may be a shifting undercurrent in the market going on with disgruntled “bears” beginning to throw in the towel and go long. My recent reading “between the lines” of predominately bearish James Stack (whom I subscribe to) makes me think this may be the case. Technicals have been pointing up. And the bears are starting to feel caged.
  • I too think the upcoming FOMC meeting and CPI reporting this week have unusual observation. Surprising CPI data could change the tune just as Canada and Australia hiked their rate unexpectedly.

    Mike Wilson of Morgan Stanley has been bearish for a long time and he forecasts S&P 500 to fall to 3,000 this year as the earnings fall.
  • edited June 2023
    Good point @Sven. CPI data release Tuesday. Maybe I’m just paranoid, but I’ve suspected in the past this sometimes gets leaked in advance. That might explain the abrupt turn in some markets late in the day if the numbers are favorable (showing slowing inflation). Even without a leak, it’s probably related to the overall VIX action.

    Just looked at TAIL (etf) and it was up slightly today (+0.14%). The fund plays off the (original) VIX and is supposed to hedge / protect against high volatility and related equity downside. It’s done extremely poorly since I started watching about 18 months ago. Owned it briefly once.

    Yes, Wilson remains bearish. Bloomberg’s Wall Street Week now presents an “Elf Reading” every week. It’s a take-off on what Rukeyser used to include on his show. Anyway, the “elves” are predicting a lower end of year for the S&P than where it is now. That would seem to put Bloomberg in conflict with Barron’s which published a bullish call this week.
  • edited June 2023
    Inflation number looks encouraging for Tuesday reporting.
    The consumer price index, set to be released Tuesday at 8:30 a.m ET, is expected to show that all-items inflation increased just 0.1% last month, equating to a 4% annual rate, according to the Dow Jones consensus estimate. Excluding the volatile food and energy components, CPI is forecast to rise 0.4% and 5.3%, respectively.
    https://cnbc.com/2023/06/12/inflation-report-tuesday-will-be-critical-for-the-direction-of-fed-policy.html
  • edited June 2023
    CPI was OK, headline at +4.0% lower than expected (exp +4.2% yoy), but core at +5.3% higher (exp +5.2%).
    https://www.bls.gov/cpi/
    https://www.fxstreet.com/news/the-highly-anticipated-consumer-price-index-cpi-202306130542
  • Today, PPI +1.1% (vs exp +1.5%), core PPI +2.8% (vs exp +2.9%). So, if (wholesale) PPI << (retail) CPI, that means future CPI will decline.
  • edited June 2023

    Today, PPI +1.1% (vs exp +1.5%), core PPI +2.8% (vs exp +2.9%). So, if (wholesale) PPI << (retail) CPI, that means future CPI will decline.</p>

    Will U.S. equity markets rise or fall after today’s 2 PM FOMC announcement?

    Mostly going nowhere today. Unusual lack of volatility in recent days.

  • Treasury rates didn't move much; 3-6 mo is the sweet spot. Stocks saw some volatility - Powell said don't expect rate cut for almost 2 years! Does that define higher rates for longer?
    https://home.treasury.gov/resource-center/data-chart-center/interest-rates/TextView?type=daily_treasury_yield_curve&field_tdr_date_value_month=202306
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