More Odd VIX

• Posted by Adam Warner
• on July 14th, 2010

Well, strange day in VIX on Monday. We normally see an illusion of strength on Monday’s as calender catches up the weekend options pre-sale. Yet VIX acted oddly weak, and (at least in the morning) out of line with VXO, VIX futures, and VXX.

Tuesday saw the action in the chart here (the time stamping didn’t show up, but that’s basically the day.

The market was strong all day, so one would normally expect a gradual VIX drift. Yet it opened low and by and large worked higher. Included was an island gap around 3:15. I’d say that’s a statistical error of some sort, if not for the fact that it *rallied* back to close there. I’d still disregard the gap though. Remember always, this isn’t a stock, it’s a statistical calculation, it’s not like they block-traded an order.

I would take the relative strength of VIX seriously however. Or at least question why. Monday was inordinately weak, so perhaps Tuesday just reversed whatever happened Monday. Or not. I would say though as a package the two days add up to nothing, but it does add some interest going forward.

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