Friday, July 11, 2008

VIX:VXV Ratio Now at 1.10

The VIX:VXV ratio has just hit the 1.10 level, which I consider to be a strong buy signal.

For the record, the 1.10 reading was reached at 12:28 p.m. EDT, with the VIX at a level of 28.97 (+13.21%)

20 comments:

Anonymous said...

Bill, there also been blogs concerning the VXO not being >= 30 when the SPX corrects 10%. Now that it's over 30 today, does this also add more spice to a buy signal?

thanks, Jimmy

Bill Luby said...

The VXO over 30 definitely helps the bull case here. Even better would be a VIX above 30, but I don't think that is going to happen today, even though we are at 29.30 as I type this.

Anonymous said...

the VIX over 30 could occur on Monday. stock market have habit of carryover a bad Friday sentiment into Monday.

thanks, Jimmy

I.L. said...

If there is one article worth salvaging out of this week's Barron's, it's the guest appearance of Lawrence McMillan in the Striking Price column. His concluding paragraph:

"This market decline probably will end as all others have - with traders panicking and the VIX spiking upward."

I.L. (musingsofatrader.blogspot)

David said...

Let's GO B.O.!
I continue to root for the Bulls, even while being Bear-mauled.
Warm Regards and I can't wait to buy your book! Racho

Anonymous said...

Market is very oversold, and yes we've been talked about no spiking in $VIX... but there's no really panic in the trading of indicies... look at the indices today, it look more like a orderly liquidation, no real panic. Although media sound like panic and "oh we broke 11,000" but market is not acting with a waterfall style sell off, but more an orderly exit...

Zen said...

The intraday high back in March was 1.24 and 1.372 in January. I'm not disagreeing that the market is overdue for a bounce, but this could go much higher.

Anonymous said...

VIX futures curve slowly going from flat to inverted, so that bodes for a bottom soon. 1.03 on the VIX:VXV 10 DEMA is a spot I keep eyeing as reversal levels. A Monday flush at the open is the gift shorts should pounce on and unwind. Fast.
--dowoper8tr--

Celal Birader said...

Hello Bill,

Is there a site where i can download daily historical values for the VXV ?

Yahoo has this feature for the VIX but not for the VXV.

Thanks.

Bill Luby said...

Hi Celal,

I found an accurate source for the VXV data to be at StockCharts.com, but you have to be subscriber to access that information. For some reason, the CBOE does not have the full history (they exclude the first three weeks or so), but they do have a spreadsheet of historical data starting from 12/4/07 that you can download at: CBOE VXV site

I hope this helps.

Cheers,

-Bill

Celal Birader said...

Thanks Bill. That's exactly what i was looking for.

BTW, I am naturally drawn to mean reverting indicators; which is why i do find your VIX:VXV a very interesting and powerful tool.

Take care and let's all enjoy the ride.

Anonymous said...

bill, you accurately called the intraday bottom for friday the 11th

i hope you went long there and took some gains

Anonymous said...

Bill,
Do you have a summary of your market calls?
SMS

Bill Luby said...

Hi SMS,

The short answer is that I rarely make public my market calls. In fact, I kept them largely to myself and a select few others until I started publishing a subscriber newsletter about 3 1/2 months ago.

For the record, the subscriber newsletter Sunday edition includes the following features related to your request:
- Week in Review
- Current Investment Thesis
- Asset Class Outlook (covers 4 equity indices, 4 commodities, the long bond, and the dollar)
- Discussion of Two Proprietary Market Sentiment Indicators
- Focus Model Portfolios (Aggressive Trader, Growth, and Foreign Growth)
- Stock of the Week Selection

Wednesday's subscriber newsletter adds a mid-week Market Commentary, updates the two proprietary market sentiment indicators, and includes a number of features that vary from issue to issue, but most of which are related to volatility and market sentiment.

More details are available at the VIX and More Subscriber Newsletter Blog.

Cheers,

-Bill

PBeuttell said...

Has anyone mentioned that Bloomberg appears to carry VXV data back to 1990 (CBOE may have calculated the closing price back to then to give perspective???). Appears under BBG's Index function as VIXV (for anyone who has BBG). Can send you a chart if you tell me where. The data extremes for VIX/VXV are slightly different from yours, but the profile looks broadly similar (I think we've done it correctly ...). The post-2000 extremes are 1.46-.055. Thanks for the interesting work. Peter

Bill Luby said...

Hi Peter,

To the best of my knowledge, the CBOE has only calculated VXV values going back to January 2002, but I'd be glad to be proven wrong here.

If you are so inclined, I'd be interested in looking at a copy of the VIX:VXV chart you mention. Feel free to mail it to bill.luby@gmail.com

Cheers and thanks for your efforts,

-Bill

Anonymous said...

Hi PBeuttell, are you sure the low of the ratio is 0.055 and not 0.55?
0.055 would mean the VIX would be 10 and VXV 181.82.

PBeuttell said...

We made the "mistake" of drawing the ratio the other way up, so that it matched the market's profile - so ignore those limits (and I probably did have the point in the wrong place). In addition, when we went back the next day to draw the longer history chart for Bill, it only produced what he said was available - back to 2002. Whether there was an error in the Updata software, or in transferring the data from BBG through the API, we don't know. Apologies for the red herring. (Bill, I assume you've seen the post 2002 chart?).

Bill Luby said...

Hi Peter,

Thanks for the clarification. Yes, I have charts going back to 2002, but thanks for the offer.

Cheers,

-Bill

Torres said...

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