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Volatility Index (VIX): Seasonals at Work?
 July 18 2016 ​( From TradingView , CNN, iSPY ETF)
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The Situation

​​​In these bullish times (good to know that​​ the Fear and Greed Index
​from CNN Money is coming from Fear Zone three weeks ago ​to the  
Extreme Greed Level now at 89 as of July 15).
It is interesting to look the
​behavior of the SP500 Index Volatility (VIX - CBOE) ​level and seasonality.  ​
​VIX is a calculation based on the average volatility that investors are
​willing to pay for an option. ​ 


​​​​As shown by the first chart below, the SP500 Index Volatility (VIX) is now at a Major Support ​Trendline that started back since July 3 2014. (See First Chart Below - Grey Trendline - Ellipse)

But the real interesting part is to observe that the bottom for VIX reached in July of the past 5 years:
(as shown by the second chart below - vertical yellow lines)
​2011: July 1     2012: July 19      2013: July 23      2014: July 3      2015: July 20​​​​​

Seasonality may be making VIX look more complacent than it is. ​​The VIX, or the Volatility Index have been on a steadily decline since June 27 (post-Brexit Fear) as shown by the first chart below...

The one thing that is is often ignored is that July is generally a low period for VIX. And from mid-July to beginning of August, there is very often a pick up in volatility and then does seem to highlight that VIX has indeed a seasonality built in it...

So be careful reading too much into a VIX that is low, without trying to account for the seasonality. In fact we might have less fear priced in because of the July Seasonality. But seasonality often trigger the new trend of Volatility as shown by the third chart below...​​  
​(See Third Chart Below - Bottom Panel - Candles)

​​






Volatility Index (VIX): Seasonals at Work?  $VIX #Trading #vix  #volatility #SP500 #spy


SP500 Index Volatility - VIX (CBOE)
Daily Candles
Lowest July VIX (Vertical Yellow Lines)​​ 
SP500 Index Volatility - VIX (CBOE)
Daily Candles

Financialiceberg.com
Financialiceberg.com
​SP500 Index Volatility (VIX)
Daily Seasonality (1990-2014)​
Chart courtsesy of iSPY ETF​
Chart courtesy of: iSPY ETF