Volatility Market Recap – 8.19.13

The pullback in the major indices continued today. While they started off slightly positive, many were in the red by lunchtime. SPY closed down -0.64%. Volume decreased today over the last two days. VIX (spot) climbed again today, ending at 15.10. VVIX (vol of vol) closed up at 86.91.

I am on the lookout to put more cash to work — i.e. increasing the size of my current trades. I do think we have a little more selling ahead of us, but some technical indicators are starting to reach extreme levels.

One of my favorites is the % of S&P500 stocks trading above their 20-day EMAs, which currently sits at 16.2%. The last few times it hit a level this low were mid-June 2013, mid-November 2012, and May 2012. Each of those moments turned out to be a great time for putting cash to work.

Despite this recent pullback, the VIX term structure remains in moderate contango. Most of the recent movement has been in near-month futures. Speaking of VIX futures…hat tip to Jay at Trading Volatility to seeing that TD Ameritrade is now offering trading access to VIX futures.

Today’s charts are below, courtesy of StockCharts.com and Trading Volatility.

Disclosure(s): Short volatility at time of writing.

SPY daily chartVIX term structure chart - contango$NYMO$BPSPX$USHL