VIX Call volumes had exploded in recent weeks, accelerating to their highest levels since Brexit ahead of the healthcare vote, which saw VIX spike dramatically to 2017 highs.
However, in the aftermath of the pulled vote debacle, VIX collapsed at a near record pace, as did VIX Call volumes (trading at their lowest level since 2016).
The S&P 500 Index and CBOE Volatility Index have historically moved in opposite directions about 80 percent of the time, but that’s changed recently...
As Bloomberg reports, both gauges are heading for declines this month, after the two rose in tandem in February.
That’s weakened their inverse correlation, sending it to levels not seen since April 2005...
After March/April 2005, the S&P 500 dropped around 8% (breaking down as the correlation reverted to norm)
As TVIX, the double-levered long VIX ETF unleashed in Nov 2010, decays to record low prices...
An unusual (and almost unprecedented) event has occurred. Just as we saw in Gold ETFs, and Oil ETFs, TVIX Shares Outstanding have exploded by a stunning 225% in the last 4 weeks... [the last 3 times TVIX has undeergone such an epic surge in demand marked a major turning point and led a violent surge in VIX]
with the largest inflows (bearish bets) on record in the last week...