Daily patterns in the VIX

The daily risk patterns in the VIX were steady each week, through the start of this year.  Each day of the week could be counted on for providing a differentiated amount of risk for those with long VIX exposure.  But since the start of 2013, these daily risk patterns have suddenly enlarged. 

We follow a risk-oriented metric of whether for a given day, the VIX intraday range was completely lower than the prior day’s closing value.  If one were long the VIX (e.g., a call option on the index) on one of those given days, then they would have likely lost value in their position.

The chart below shows the time series of the portion of times that this has happened, using a 6-month average to define "portion".  Tuesdays were regularly doing well, and it could be faithfully counted on to provide a 12% chance that any given Tuesday we would see the VIX intraday range completely less than the prior Monday’s closing value.  Since the start of 2013 however, Tuesdays have been increasingly unfavorable for those long the VIX.  So Wednesdays and Thursdays have had to make up for these increasingly risky Tuesdays for VIX holders.  We see an increasing lower portion of either the Wednesday and Thursday VIX intraday range as completely below the prior day’s closing value.

With Wednesdays and Thursdays together being far less risky for those exposed to the VIX, Fridays have now needed to compensate.  Further, Fridays’ likelihood (of having its intraday range below the prior Thursday’s closing value) has escalated, as the year has progressed.  So instead of Wednesday and Thursday dampening the Tuesday oscillations, we now see the probability of having an unsafe Friday as even higher than the probability of having an unsafe Tuesday, again for those long the VIX.