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 arguement 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.