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Pascal
02-11-2013, 12:21 PM
Wednesday is the VIX options expiration. With the Put/Call ratio being 0.64 we can expect VIX weakness to render as many calls worthless as possible.

We can see below that the TEV pattern for the VIX is showing a slight positive divergence. We might be close to a bottom and I expect that buying VIX weakness on Wednesday could be interesting.

However, if the VIX jumps up without TEV support (such as what we saw in December,) then we will need to sell strength.


Pascal

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