VIX Signal Suggests Short-Term Resistance For S&P

Authored by Simon White, Bloomberg macro strategist,

A signal based on the VIX for zero-days-to-expiry options has triggered, which has historically preceded short-term underperformance in the S&P.

Zero-day equity options continue to account for near half of daily volumes. The VIX1D index aims to capture the implied volatility of such options. Typically the index rises through the day, before opening in the next session at a lower price.