VIX in a Month: Place your Bets

[DeepFried]

Quote from IV_Trader:

Just another unwarranted advice/opinion

What a brilliantly argued rebuttal. You can't buy insights like that. Hot damn, you're a genius.

 

[oxfordrick]

VIX is a derivative of a derivative so why chart?

Yes you can argue that as long as others believe, it's useful,
but if you think about how VIX is measured you'll realize that it's the S&P and its options that determine VIX's settlement prices, not supply and demand of underlying VIX contracts.

IMO VIX is mean-reverting, so big question is what is the mean?
Personally I use moving averages and place my bets accordingly.
As long as we are in a bear market, my model has VIX closing in a range 22.5-30 approximately 75% of the time.

Good luck everybody!

 

[shortie]

Quote from shortie:

I have looked at other CVR signals defined by Larry Connors. Turns out that out of 6 that I know of (anybody knows how many there are?) 2 actually flashed a Sell signal yesterday (V and VI). CVR III came close 9% vs 10% below 10d MA. And I and II could fire as soon as Monday (oversold condition for VIX is met, now we need to see some indication of VIX reversal).

Presumably multiple CVR signals significantly strengthen each other, so we will likely (very likely?) get a down week.

CVR I and II do show Sell signal (sell S&P500) today. This makes it 4/6 CVR Sell signals in the last 2 days, must be a pretty strong sell signal.

 

[IV_Trader]

VIX closed at 19…only 2% ( the LOWEST percentile !) of ppl that participated in this poll got it right…Long live the ET crowd ( the contrarians) !
J/K…SPX RV is printing 15 now and OTM skew is flattening, so I guess we are going even lower from here if last weeks action continues.

 

[shortie]

Quote from IV_Trader:

VIX closed at 19…only 2% ( the LOWEST percentile !) of ppl that participated in this poll got it right…Long live the ET crowd ( the contrarians) !
J/K…SPX RV is printing 15 now and OTM skew is flattening, so I guess we are going even lower from here if last weeks action continues.

there is still 3 weeks to go, we shall see... but the volatility is indeed going down the drain.

 

[matador04]

Does anyone use RSI anymore?

 

[shortie]

isn't VIX supposed to be mean-reverting?

 

[MAESTRO]

I am buying June puts on equity indexes.

 

[shortie]

Quote from shortie:

Today VIX is 9% below 10d MA

"The TradingMarkets 5% Rule. If you only follow one market sentiment indicator, it should be the TradingMarkets 5% Rule. The 5% rule states - Do not buy stocks (or the market) anytime the VIX is 5% below its moving average. Why? Because since 1989, the S&P 500 cash market has "lost" money on a net basis 5 days following the times the VIX has been 5% below its 10 day ma. That's right, in spite of the S&P 500 rising over 300% since 1989, it's lost money 5 days following the VIX closing 5% or more below its 10 day ma.

The TradingMarkets 5% Rule is also extremely powerful on the buy side. Since 1989, whenever the VIX has been 5% or more above its 10 day ma, the S&P 500 has achieved returns which are better than 2 1/2 to 1 compared to the average weekly returns of all weeks.

What does this mean for you? It means the potential edge lies in buying the market and stocks when the VIX is at least 5% above its 10 day ma, and to lock in gains (and also not buy) when the VIX is 5% or more below its 10 day ma. "

http://www.tradingmarkets.com/.site/AboutTM/general/tmtradingrules/07282005-44482.cfm

by the way, vix is 6% below 10 dma. the last time spy moved sideways/slightly down for 4-5 days after the signal.