CHECK OUT THE NEW GOLD COURSE!!
As vol rallied earlier this week, it was noted by a few people that the spread between SPX vol, the VIX and NDX vol, the VXN is at its widest point in years. ?One might think that with the NDX calming down and VIX moving back to the sub 14 level that the spread would have tightened significantly…it has not. ?Take a look:
Livevol (r)?www.livevol.com
With VIX lower, ?the spread, while slightly tighter, is actually WIDER as a percentage of VIX. ?The market is telling us that it has serious expectations of the Nasdaq 100, moving a lot during earnings season. ?It also points toward the end of the easy momentum trade for now. ?I am surprised we have not seen players stepping in to arb away some of the vol spread by selling NDX strangles and buying SPX strangles or something along those line.
The Trade:
Keep an eye on this spread, if it stays wide, even with VIX settling, ?more fireworks could be coming. ?If and when it tightens up, it could do so quickly.