Had a buy order for $9 on UVXY that I felt was rather unlikely to hit, and it did, today. 
The VIX structure has been extremely docile recently.
The yellow line is just to check for trend, as TA on VIX doesn’t really make sense, but as we can see, we’re going down in a steady clip.
One thing though… VVIX - vol of vol - is picking up a bit. We also had a day last week where VIX was up when markets were up, and no one seems to know why. Will keep an eye on this for now.
Cem Karsan was on TD Ameritrade Network again to share his views - worth a listen:
https://twitter.com/TDANetwork/status/1567882480383827968
He seems to think that institutions have started to not hedge as much, so the vol event we are expecting may be getting appreciably closer.
Vol continues to be well behaved both in terms of term structure and price-action:
For now, continuing to hold the UVXY commons (that are bleeding out ever so slowly due to roll over). No options. Waiting for the sleeping giant to awaken.
I am with you Ni!!
UVXY call spreads filled yesterday - just noticing it now.
Wide 15C/25C for Jan 2023 for $1.
That we damped out after 1 day of fall, massive put levels are expiring tomorrow, and there is little support now below 3800 seems to suggest that we could have some toasty vol events in the next few months.
Have set 1/2 to sell at $2, will ride the rest.
Btw UVXY rollover loss seeps into options too, so VIX calls are also a way to play this.
The volatility gods are restless today. I’m assuming a large part of this is event vol related to the PCE release tomorrow, with a bit of British shenanigans thrown in.
This then implies that there will be a major vol unwind tomorrow, once PCE is known. Hence have closed out of all UVXY positions noted above. That includes both the call spread and sizeable commons positions, for 25% and 18% respectively.
Expecting to reenter into UVXY sometime in October, as vol should flare up again into the midterms. Assuming Putin or Kwarteng don’t kick the beehive some more, first. Will scale in as VIX goes back to the low 20’s.
Thank you, sir. I bought commons a few weeks back because of this thread and then bought calls the last couple of days.
Was going to hold onto the commons and let an option run but deferring to your brilliance I am all cash (and green!) from the UVXY trades. Very grateful for the trade ideas 
Yay, so happy to hear that, @macromicrodick !
And haha yeah… vol can die faster than a fish out of water in the Sahara. There’s midterms, and then should be some “main event” vol explosion in Q1-Q2 2023… so we’re just getting warmed up.
While vol did go down a bit since last week’s notes, it did not go down nearly as much as I was expecting. And is back right where it was then.
Unlike last week, the entire term structure seems to be elevated. In other words, markets expect bad things to happen “soon” but its not clear how soon “soon” is. 
This is probably some combination of CPI next week, the Brits barely keeping their financial sector together with duct tape, and Putin and his tactical nukes.
One other reason to keep an eye on this - we are sitting under a ton of puts. Any reduction in vol will make MMs dehedge, and the resulting vanna rally will be glorious.
Turns out at least one Vol fund has wound down, according to Cem: 215 Systematic Investor Series ft. Cem Karsan – October 22nd, 2022 | Top Traders Unplugged
Folks have been “long vol” (i.e. expecting stuff to blow up) for months now, and nothing is happening. Institutions are no longer taking those bets to the same degree, and hedge funds that relied on this long tail event are running out of runway.
You can see the weird funk we’re in by comparing the vol structure with about two months ago (no significance to the date):
As for this:
Pushing taking positions into post-midterms. I’m surprised at how strongly vol has held up, but it is what it is.
Volatility is falling off a cliff (Images 1 and 2). Presumably because a lot of it was tied to earnings, and less so to FOMC and midterms. Both the bond and stock markets seem to be quite positive. Yet it’s not like we actually have good news on the inflation front, and the Fed Whisperer is sounding rather pessimistic. So going to start building some protection.
Got:
Also setting up additional buy orders for UVXY commons at $9 and $8.
Note that like all leveraged ETFs, UVXY suffers decay (Image 1 vs 3). So $10 now doesn’t represent what $10 represented even a month ago.
Quick note to say that I disposed of these for a scratch, thanks to the gift of higher vol as the market thrashed around midday:
There should be vol unwind after the election results are known, will load up then for Dec or Jan expiries on the cheap, unless vol remains high on account of CPI Thu.
(Typo above btw - should read 11/18, not 10/18)
Another masterclass from Cem Karsan. Main takeaway - puts are disappearing as people get complacent, but also, puts are providing less by way of protection as VIX is much lower. So once market starts gliding down again and people realize puts are not protecting them to the downside as much, they’ll start selling more to get out. Setting up a feedback loop of selling.
Here’s an overview of the general vol situation from Imran, a SG affiliate: https://www.youtube.com/watch?v=PAcw8_FPNqc
Btw this is where VIX is now:
Compared to 3 weeks ago.
Will probably wait to get some VIX/UVXY calls as Dec rolls around.
UVXY limit buys filled at $8 earlier today 
Also got lotto 11/25 UVXY 9Cs for 0.04 for FOMC tomorrow, just in case there are fireworks.
My 12/2 were filled today at .08. Don’t know why I didn’t go with 11/25
Tl;dr: Peace and tranquility prevail in the world of VIX. Should be bullish.
After spending large periods of time in backwardation, the VIX term structure is decidedly in contango now:
We see continued consolidation around the 20-24 level:
Vol of vol (VVIX) is showing a 5-year low(!):
Even the bond-VIX (MOVE index) concurs on this state of peace and tranquility:
This is all to say that the market is not expecting any bad surprises in the near future whatsoever. This is bullish. If CPI is anything close to what is expected - a high 5-handle - we might be looking at a nice setup for a nice bull run.
Will play next week with this bias in mind.
Now… this is also the perfect setup for things to unravel very quickly when a shock happens, so I did get Aug '23 VIX call spreads just in case we wake up one day to find something really big went bump at night. It will keep its value for months, and will make it more comfortable to partake in bullish plays overall.
On the Eve of FOMC, all is super quiet in vol land. Term structure is appreciably lower across the board, and this is reflected in VIX and VVIX. (The very recent uptick is likely due to FOMC, and likely to fall even more, barring some shock.) MOVE (the bond index) has also not been this low since June, suggesting bonds are not feeling my uncertainty either. This may be a good time to start considering long dated VIX call spreads.
“Volmaggedon” and the impact of 0DTE options has become all the rage after JPM’s chief global market strategist dished out some good old-fashioned fear mongering spree yesterday. Markets seldom do what consensus amongst “chief strategists” and the like suggest it has to do. Nevertheless, sharing these two resources that note some of challenges that 0DTE has brought to the markets:
This is a developing situation, and could very well end up lighting some things on fire. Will be tracking this closely.
