Monday, October 8, 2007

Schaeffer Thinks VIX May Be Signaling ‘All Clear’

In today’s Monday Morning Outlook: Small Cap Sentiment and a Significant VIX Move, Bernie Schaeffer opines that last week’s VIX close below the 32-week simple moving average could signal the same sort of “all clear” message that a similar VIX close did in August 2006.

On the SPX-VIX correlation front, Schaeffer also looked at Friday’s action and noted that “the SPX rallying more than 0.85% while the VIX drops less than 10% - has had historically bullish implications dating back to 1990. Specifically, after 20 days the market is higher 69% of the time; the average gain in the SPX over this period is 1.65%.”

As an aside, readers may be interested to know that I have provided links on the right hand column of the blog to several important voices who frequently talk about the VIX and market sentiment. The links to “Other Important Voices” can be found just below “Blogs I Frequent” section and currently includes the likes of Bernie Schaeffer, Larry Connors, Fred Ruffy, Jay Kaeppel, and Mark Hulbert.


Anonymous said...


Just to be clear...the reference to "historically bullish" was in terms of being bullish for the VIX...right? Not necessarily bullish for the S&P.



Bill Luby said...


Schaeffer's all clear reference is for the SPX and broader markets. (I think I'm the only one who screws thing up by saying I am 'bullish' on the VIX.)

The sentence after the one you reference (in which I am quoting Schaeffer) might help:

"Specifically, after 20 days the market is higher 69% of the time; the average gain in the SPX over this period is 1.65%."



P.S. I enjoyed the skew piece

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