VIX Has Stopped Falling

In the last 3 days, the market has rallied about 30.00 dollars in the SPX.  Knowing that, traders would expect the VIX to have gotten completely pasted as traders dumped volatility.  Take a look at how S&P has moved and how VIX has moved.


Livevol (R)

When the S&P moves up, one of the biggest red flags is that the VIX fails to keep up with SPX.  I would make a strong argument that VIX holding 14 and dropping less than 1 point, towards this being a double top, and that there is another trip lower heading our way.  Making the lack of sell off even more surprising is that we are heading into a long weekend.  Traders should be jumping over themselves to sell premium.  If we aren’t heading much lower, I would argue that we are probably NOT going to be seeing much more to this rally.

The Trade:

With a floor set, a long vol. play tomorrow afternoon could make some sense as a play on a break one way or the other.