The daily charts of the stock indexes show contracting ranges while the VIX has made a significant move higher since September 26th. The S&P 500 is 1.3% off of its September 26th high while the VIX has surged 50% from its September 26th low. I will take a look at this type of VIX Divergence on a deeper level as it would seem like a meaningful disconnect. We continue to discuss the difference between historical pricing and the current market pricing based on excess liquidity.
The live One Million MNS Portfolio was down -0.1775% today while the 250K Portfolio was down -$355 today in live trading. The hypothetical performance for the Stock Index Portfolio 18 was -$1,810 per E-mini and -$181.50 per Micro.
The VIX has been persistently higher, up 17% today at 22.64, while the stock indexes remain mostly bid up. It "feels" like the market is about to drop, but I am not making that prediction as the dip buying liquidity continues to surprise me. The dip buyers could take a break until after the election at this point. We have choppy, range bound markets. These ranges could become wider range bound markets or markets that pullback now going into the election.
The One Million MNS 128 hit a good drawdown entry point at around -$28.5K. Risk to worse case drawdown is 2.3%. We will begin trading it in the next session. After a big equity runup between August 7 and August 20, it has been sideways in Net P/L since August 21. The last big runup started about two months ago so the potential for a positive cycle has increased.
Many of the intra-day price cycle, seem very pre-empted lately, more than normal. There are cycles that typically exist in the market and some significant cycles we haven't seen in a while could appear as we head into the election.
Our strategies could capture long or short trades tomorrow as well as counter trend and mean reversion moves.
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