VIX Under 30 Five Days In A Row? (VIXY, TVIX, VXX, VXZ, XIV)

Bill Luby: The day is still young and the rumor mill has been eerily quiet so far, but I think it is worth noting that the VIX appears ready to make it five consecutive days (green box) without breaching the psychologically significant 30.00 level (dotted black line) for the first time since July.

For those keeping score at home – or in the office – it has now been two months (as of yesterday) since the VIX has moved above the 40.00 level.

The chart below shows the path of the VIX so far in 2011, which somewhat resembles either Nessie or a cobra that has reared up and is poised to strike. Call it a Rorschach amphibian, if you will.

I have also added a 10-day rate of change study below the main chart to emphasize that while the absolute level of the VIX is important, the recent rate of change can sometimes be a better gauge of evolving market sentiment.

Given all the uncertainty surrounding a group of 17 diverse actors with very different motivations arising from divergent national agendas, economic interests and domestic political situations, it is reasonable to expect the VIX and other measures of uncertainty to climb going into the end-of-week summit. With four hours in the books, today’s action in the SPX is the tightest single-day range in five months ago. When will the next sabot fall?

[source: StockCharts.com]

Disclosure(s): none

Related: ProShares VIX Short-Term Futures ETF (NYSEARCA:VIXY),  VelocityShares Daily 2x VIX ST ETN (NYSEARCA:TVIX),  iPath S&P 500 VIX  Short-Term Futures ETN (NYSEARCA:VXX), iPath S&P 500 VIX Mid-Term  Futures ETN (NYSEARCA:VXZ), VelocityShares Daily Inverse VIX (NYSEARCA:XIV).

Written By Bill Luby From The VIX and More Disclosure(s): No Positions

Bill is a private investor who also authors the VIX and More (http://vixandmore.blogspot.com/)  blog and an investment newsletter from just north of San Francisco. His  research and trading interests focus on volatility, market sentiment,  technical analysis, and ETFs. Prior to becoming a full-time investor,  Bill was a business strategy consultant for two decades and advised  clients across a broad range of industries on issues such as strategy  formulation, strategy implementation, and metrics. When not trading or  blogging, he can often be found running, hiking, and kayaking in  Northern California. Bill has a BA from Stanford University and an MBA  from Carnegie-Mellon University.

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