Sorry!! The article you are trying to read is not available now.
Thank you very much;
you're only a step away from
downloading your reports.

The Reality of VXX Volume


When a big call buy coincides with a market top, we notice, but there are big call buys most every day.

Bespoke yesterday noted an increase in VXX volume, so figured we'd take a look at it in 3D here.

First off, the real spike was back in January, and was well-timed. For the buyers at least. However, it reached a crescendo in early February right at what looks like a pretty distinct high. Those bars coming out of the left compare net volume at varying price levels, and as you can see, the low 30s remains the most popular price level here over the past half year. You can also see that reflected in the On Balance Volume, which peaked then and proceeded to fall off a cliff. Which isn't too surprising given that this pup went down on 18 of 19 sessions.

I'm also not sure I see much volume spike here. Other than a busy Monday, the numbers look in line with everything since January.

But even if we did, I really feel the world has selective memory when it comes to VXX volume, or those big VIX call buys. The natural order flow in both is clearly to buy, for the same reason indices tend to see more put interest than call interest. By and large these are hedging vehicles and someone along the food chain is worried about tail risk. When a big VIX call buy coincides with a market top, we notice, but the point is, there are big call buys most every day in there. And most days over the past month have seen ugly volatility action. Someone will catch the bottom in the VIX, but it's likely just against something else and not pure speculation. And certainly unlikely it's the only stab that buyer made.
< Previous
  • 1
Next >
No positions in stocks mentioned.
The information on this website solely reflects the analysis of or opinion about the performance of securities and financial markets by the writers whose articles appear on the site. The views expressed by the writers are not necessarily the views of Minyanville Media, Inc. or members of its management. Nothing contained on the website is intended to constitute a recommendation or advice addressed to an individual investor or category of investors to purchase, sell or hold any security, or to take any action with respect to the prospective movement of the securities markets or to solicit the purchase or sale of any security. Any investment decisions must be made by the reader either individually or in consultation with his or her investment professional. Minyanville writers and staff may trade or hold positions in securities that are discussed in articles appearing on the website. Writers of articles are required to disclose whether they have a position in any stock or fund discussed in an article, but are not permitted to disclose the size or direction of the position. Nothing on this website is intended to solicit business of any kind for a writer's business or fund. Minyanville management and staff as well as contributing writers will not respond to emails or other communications requesting investment advice.

Copyright 2011 Minyanville Media, Inc. All Rights Reserved.
Featured Videos