TheBCDLabBCD

other_invest.

VIX 2025-06-26

Created on

Symbol

VIX

User Message

UVXY has not been very volatile since the ceasefire between Iran and Israel

Technical Report

----VIX Summary as of 2025-06-26----

Current VIX: 16.76, VIX percentile in the past 200 days: 31.0%

Z-score (5 days): -1.28

Z-score (20 days): -1.26

VIX9D: 13.81

VIX9D VIX: False

---UVXY Performance Summary----

Current UVXY: 19.08, UVXY percentile in the past 90 days: 0.0%

5D % Change: -14.68

5D Volatility (%): 3.91

RSI (14): 38.4

Above 5-day MA: False

Volume Spike Ratio: 0.1

Final Report

Analysis of Current Market Conditions

  1. VIX Metrics:

  • Current VIX: 16.76 (31.0% percentile over the past 200 days).

  • Z-scores: Both 5-day (-1.28) and 20-day (-1.26) z-scores indicate the VIX is significantly below its recent mean, suggesting potential for a mean-reversion bounce.

  • VIX9D: 13.81, which is below the VIX, indicating no immediate short-term volatility spike expectation.

  1. UVXY Metrics:

  • Current Price: $19.08 (0.0% percentile over the past 90 days, meaning it's at its lowest in this period).

  • Recent Performance: 5-day decline of -14.68%, with low volatility (3.91%) and RSI at 38.4 (neutral, slightly oversold).

  • Volume: Very low (Volume Spike Ratio: 0.1), indicating lack of interest or capitulation.

Historical Research Insights

  • VIX Percentile 30 - 39.9% (current bracket):

  • Profit Probability: 60%.

  • Avg Days to Profit: ~2.3 days.

  • Avg Max Profit: ~10.4%.

  • VIX Value 16.01 - 18 (current bracket):

  • Profit Probability: 59.3%.

  • Avg Days to Profit: ~2.1 days.

  • Avg Max Profit: ~9.7%.

Key Observations:

  • The VIX is in a lower percentile (31%), but not extremely low (e.g., 20%), which historically has higher profit probabilities.

  • UVXY is at a multi-month low, which could present a buying opportunity if volatility rebounds.

  • The low volume and oversold RSI suggest limited downside but also lack of immediate catalysts.

Recommendation:

  1. Allocation:
  • Given the moderate profit probability (~60%) and average max profit (~10%), allocate 10-15% of total capital to UVXY. This balances potential upside with the risk of further declines.
  1. Entry Price:

  • Current price ($19.08) is reasonable given the low percentile. Consider scaling in:

  • First Entry: 50% of allocated capital at current price (~$19.08).

  • Second Entry: Remaining 50% if UVXY dips further to ~$18.50 (support level).

  1. Target Profit:

  • Primary Target: 10% gain (~$21.00), aligning with historical avg max profit.

  • Secondary Target: If volatility spikes, consider trailing stop to capture larger moves (e.g., 15-20%).

  1. Stop Loss:
  • Set at 5% below entry (~$18.13) to limit downside, consistent with historical research.

Rationale:

  • The VIX is below its recent mean (negative z-scores), suggesting potential for a bounce.

  • UVXY is oversold and at a low percentile, offering a favorable risk/reward.

  • Historical data supports moderate success in this VIX range, but not aggressive positioning.

Caution:

  • Low volume and lack of VIX9D premium suggest no imminent volatility spike. Be prepared for sideways movement or further downside.

  • Monitor macroeconomic catalysts (e.g., Fed announcements, geopolitical events) that could trigger volatility.

Final Advice:

  • Buy UVXY at $19.08 (10-15% capital allocation).

  • Target: $21.00 (10% profit).

  • Stop Loss: $18.13 (5% loss).

  • Timeframe: Expect holding period of 2-5 days based on historical avg days to profit.