Tuesday, November 4, 2008

VIX Below 45 For First Time Since October 3rd

Just for the record, the SPX traded between 1098 and 1153 on October 3, 2008. On that same day the DJIA traded between 10,261 and 10,844. Even after this morning's bullish move, each index would need to jump about another 10% before they reached their October 3 trading ranges.
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13 comments:

  1. Mr. NeutralNovember 4, 2008 at 2:56 PM

    I only have data back through 2004 but it looks to me like the VIX closed at the lowest point, relative to its 10-day moving average, in those 4+ years. I show it 27% below its 10-day average.

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  2. Bill LubyNovember 4, 2008 at 3:08 PM

    Mr. Neutral,

    You are correct about the VIX and its 10 day SMA. Actually you can go back through the full history of the VIX and historically reconstructed VIX data and not find any deviation as large as the current one.

    The previous record of 24% below the 10 day SMA was set on 12/23/98.

    Cheers,

    -Bill

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  3. AnonymousNovember 4, 2008 at 5:12 PM

    So... Today's collapse....

    Just a weird "before the election" pause? Bill, I bet we have never had an election night with the VIX at extended levels like the ones seen lately...

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  4. ValeriobrlNovember 5, 2008 at 5:04 AM

    http://www.flickr.com/photos/31205984@N04/3004599891/sizes/o/

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  5. ValeriobrlNovember 5, 2008 at 5:27 AM

    http://www.flickr.com/photos/31205984@N04/3005447542/sizes/l/

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  6. AnonymousNovember 5, 2008 at 5:30 AM

    The pre-election rally has stalled this morning as the S&P 500 futures are down about 12 points this morning. The 3rd quarter GDP numbers will be released this Thursday at 8:30 AM and the October employment statistics will be released on Friday at 8:30 AM. Fridays employment statistics are expected to bad since Challenger Gray and Christmas Inc. reported the largest number of monthly layoffs since January 2004. It is interesting that the VIX closed at a record low point relative to its 10-day moving average on November 4, 2008.

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  7. AnonymousNovember 5, 2008 at 6:17 AM

    valeriobl....
    Thanks for the charts....so are you short base on this data?

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  8. ValeriobrlNovember 5, 2008 at 6:59 AM

    I´m not short. I'll be long when that short term correction will ended.
    I see 950 at maximum for that coming movement
    If we will see on the VIX/VXV charts a weak up movement, that will be the confirmation it is better to buy on weakness of SPX

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  9. ValeriobrlNovember 5, 2008 at 6:59 AM

    I´m Italian , I´m sorry for my bad english

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  10. ValeriobrlNovember 5, 2008 at 7:07 AM

    On mine 60min chart VIX/VXV EMA5 is still under MA20.
    ..not the moment to be short
    http://www.flickr.com/photos/31205984@N04/3004812095/sizes/o/

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  11. ValeriobrlNovember 5, 2008 at 8:01 AM

    .."Inverted Hammer"..in progress..time to be short it´s coming
    http://www.flickr.com/photos/31205984@N04/3004928159/sizes/o/

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  12. ValeriobrlNovember 5, 2008 at 8:32 AM

    EMA5 still under MA20
    http://www.flickr.com/photos/31205984@N04/3005833414/sizes/o/

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  13. ValeriobrlNovember 5, 2008 at 11:46 AM

    Didn't receive confirm of a selloff from crossing EMA34 EMA13
    http://www.flickr.com/photos/31205984@N04/3006230432/sizes/o/

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