Thank you very much, as always appreciate it a lot.
I got a quesiton regarding the VIX COT position. "VIX futures had a -2.35 SD change in Commercial net positions and a +1.96 SD change in Large Trader net positions, which suggests short-term lower volatility". Why does this position suggest short-term lower volatility?
Thank you very much. Appreciated it as always. I got a question regarding the VIX COT position. "VIX futures had a -2.35 SD change in Commercial net positions and a +1.96 SD change in Large Trader net positions, which suggests short-term lower volatility". Why does this suggest short-term lower volatility?
Because Commercials selling and Large Traders buying significant amounts of futures is bearish for the underlying, and therefore suggests lower VIX futures (and a lower VIX). But keep in mind that COT data is collected on Tuesday and released on Friday, so there's a delay that reduces the quality of the signal. Hope that clears things up!
Yes, I don’t put too much long-term weight on what the ECB says but for now they’ve still got the foot firmly on the break. I think a lot of what we’re seeing in Europe is the pricing out of the doomsday scenarios re: energy, there war in Ukraine becoming a normalcy after a year, and the China reopening which will boost exports from Europe. The ECB is the icing on the cake right now.
It was great .thank you so much
great take, thank you!
🙏
Allays enjoy your substack. Thanks
appreciate your work. ;)
Absolutely insane amount of useful information. FX is amazing at consolidating it into a single publication.
Keep up the good work!
Thank you 🙏
Thank you very much, as always appreciate it a lot.
I got a quesiton regarding the VIX COT position. "VIX futures had a -2.35 SD change in Commercial net positions and a +1.96 SD change in Large Trader net positions, which suggests short-term lower volatility". Why does this position suggest short-term lower volatility?
BEst Regards
Seems like you've hit the submit button twice, I've replied to your previous comment above.
Thank you very much. Appreciated it as always. I got a question regarding the VIX COT position. "VIX futures had a -2.35 SD change in Commercial net positions and a +1.96 SD change in Large Trader net positions, which suggests short-term lower volatility". Why does this suggest short-term lower volatility?
Best Regards
Because Commercials selling and Large Traders buying significant amounts of futures is bearish for the underlying, and therefore suggests lower VIX futures (and a lower VIX). But keep in mind that COT data is collected on Tuesday and released on Friday, so there's a delay that reduces the quality of the signal. Hope that clears things up!
Thank you a lot for not only posting such great work, but always answering questions <3
You're welcome 👍
Yes, I don’t put too much long-term weight on what the ECB says but for now they’ve still got the foot firmly on the break. I think a lot of what we’re seeing in Europe is the pricing out of the doomsday scenarios re: energy, there war in Ukraine becoming a normalcy after a year, and the China reopening which will boost exports from Europe. The ECB is the icing on the cake right now.