Thursday, September 18, 2008

VIX:VXV Ratio at New End of Day High

As far as I know, I was the first person to show interest in the VXV as a market timing indicator and the first to talk about the VIX:VXV ratio when I posted on these subjects back in early December in The VIX:VXV Ratio.

Fast forward nine months and the VIX:VXV ratio has an admirable market timing record and a very strong following, here and elsewhere. Last night it set a new end of day high when the ratio closed at 1.20. So far, readings of 1.08 and above have been good long entry points. Using the same logic, a long entry at 1.20 should be an even better trade. I will be interested to see how last night’s signal turns out.

[source: StockCharts, VIX and More]


Cobra said...

You'll be remembered as the inventor of VIX:VXV!


gautsid said...

Agreed. This is by far my favorite timing indicator. I bought tons of October calls (VIX working against me) and futures at the close yesterday.

I'm going to subscribe to your newsletter.

Thanks for all the interesting work you do.

Anonymous said...

I vote for this indicator too, so far its working well.

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