SPX, XLF, VIX: Up or Down From Here?

Are we up or down from here?...

SPX: 1,160.47
XLF: 15.71
VIX: 17.19

The LIVEVOL™ Pro Summaries are below.



The S&P 500 is near a 52 wk high and at a 52 wk low in IV30™. The Stats Tab and Charts Tab snaps are below (click either to enlarge). Note the rise in value (top chart) and the drop in vol (bottom chart) over the last year.





The XLF is $0.29 away from a 52 wk high and one vol point for a 52 wk low in IV30™. The Stats Tab and Charts Tab snaps are below (click either to enlarge). This is a 3 month window - note the rise in price (top) and drop in vol (bottom).





Finally the VIX is 1.19 away from a 52 wk low. The Stats Tab and Charts Tab snaps (1 year) are below (click either to enlarge).





The S&P 500 and VIX skews aren't terribly interesting but the XLF skew chart may be worth examining. Note the downward skew as of today relative to 10-22-2009 implying greater downside risk (literally a shift in the probability measure) today relative to then.

Skew Legend:
Red: Nov
Yellow: Dec
Green: Jan 2010
Light Blue: Mar 2010
Dark Blue: Jun 2010
Purple: Jan 2011



Skew Legend:
Red: Apr
Yellow: Jun
Green: Sep
Light Blue: Jan 2011
Dark Blue: Jan 2012



So the question is - at (or near) highs in the broad market and financials and near lows for the volatility index - are you bullish or bearish? You can probably make arguments for both.

Not sure... Try this:

If you absolutely have to make a trade today and hold it for 6 months, are you long or short the market? Are you long or short the VIX?

This is trade analysis, not a recommendation.

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