Hi. I posted this on the XJO thread. I thought you might find it of interest... or not. cheers
And now for something completely different. Was just looking at the CFTC 'Commitment of Traders' report in terms of open interest/positions in VIX Futures. Retail is short, so owing to the inverse correlation, they expect the VIX to go down, so the SNP to go up. Commercial players are on the other side of the trade. They are long the VIX, so they expect the VIX to go up, and the SNP to go down...If nothing else, interesting data.
