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new vix old vix post quad witching tumble.

  1. Lochend15M

    1,427 Posts.

    Pair of wild moves in the VIX with the CBOE restructuring of it to a S&P500 basis.

    Note the spike on the New, S&P500 based, refigured VIX, Monday 22nd, to 23.9 , the mirror image of Friday's brief downspike in the old thinly based, now superceded OEX version VIX to 16.03. ( the old one becomes the VXO and can now be accessed on Stockcharts.com )

    Expect this pair of moves relates to the reconfiguration and results from professionals swapping heavily out of the options basis of the old one Friday, therefore dropping option demand there, and the old VIX with it to 16, then entering with a surge of demand into underlying S&P500 options related to the new VIX basis today Monday 22nd, once the code was reallocated , in a rush, forcing the New VIX price briefly up to 23.9

    These are likely one off restructuring rarities and importantly DID NOT persist, to close.

    Apart from this, a large decompensating move occurred downward in US markets Monday, after eight days of bouyancy, and dare I suggest gentle ramping into the Friday's quad witching to the chagrin of the shorts.

    NCP's ADR, NWS fell in the States as would be expected, showing as 45cents on Bigcharts.com


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