The VIX:VXV ratio has just triggered its first sell signal (for the SPX/SPY) since late August as a result of the VIX falling to the current level of 44.60.
Note that even though the holiday season typically has lower than normal volatility, I do not recalibrate the ratio or the signals to account for seasonal tendencies.
Just to clarify: By saying "sell signal issued" in this context you mean short SPX. Correct?
ReplyDeleteThat is correct: short the SPX/SPY.
ReplyDelete(Additionally, one could consider getting long the VIX via options or futures...)
I don't have the sell on it - what ratio do you have? I have, EOD, 0.95
ReplyDeleteHi Damian,
ReplyDeleteI also have a 0.95 EOD number. EOD signals are much more robust than intra-day ones here, but the ratio did spend about two hours in the middle of the day below the 0.92 level.
Technically, using an EOD signal of just the ratio, the VIX:VXV is still neutral, though with a decidedly bearish lean.
FWIW, several other TA tools that I apply to the ratio did indicate an EOD sell.
Cheers,
-Bill
It looks to me that when the ratio is < 1.0 it is time to by SPY not to short:
ReplyDeletehttp://stockcharts.com/h-sc/ui?s=$VIX:$VXV&p=D&yr=0&mn=11&dy=0&id=p48595512470&a=157087273
What am I doing wrong?
This will be a good test of VIX/VXV ratio because VIX is lower than 50 for two months, which is a good sign of market is less panic.
ReplyDeleteCan't wait to see what will happen in the next few days.
mL
bill is the offical sell .92 end of day on vxv:vixi thought it was below .96 end of day . please let me know. thanks
ReplyDeletedave
How is the signal trigerred?
ReplyDeleteLooking at the chart one can see that a crossing of 1 from above is a good BUY SPX signal and a crossing of 0.92 from below is a good SELL SPX signal.
With the ratio at 0.95 now, it just crossed 1 from above and trendng down, so if anything this is still on the buy signal. What an I missing here?
Bill, does Friday's action muddy the waters? EOD shows VIX down slightly but VXV down even more. Ratio took a sharp turn up.
ReplyDeleteSome interesting comments. My main computer died, so I am a little behind and am rushing to catch up...
ReplyDeleteRegarding the 'official' signal, I have generally presented this as an EOD close of <= 0.92 (sell) or >= 1.08 (buy), but I have expanded my thinking a little and will unveil some of this in 2009.
I don't think exits are as clean cut as entries. I think a reversal of 0.92 to 1.08 or 1.08 to 0.92 is valid, but so is a reversion to the 1.00 line. Some have suggested splitting the difference or similar strategies so that a 0.92 sell entry would trigger an exit or 1.04...or a 1.08 buy entry would trigger an exit at 0.96. Perhaps this is where the confusion arose about the 0.96 signal.
Finally, take a look at the intra-day chart of the VXV. It shows some very strange spikes in the last three hours of the day. Based on my reading of both individual charts, I do think end of day value of 1.035 is a valid number.
Of course, expiration days can offer up some strange data anomalies, so we will know much more come Monday.
Cheers,
-Bill
very interesting and encouraging results from your VIX:VXV study.
ReplyDeleteBTW, where one can get VXV quotes(history or delayed real-time), I tried on Yahoo! Swingtrader and a few other financial site, none seems recognize it as a symbole (tried ^VXV, $VXV, etc)
I get historical quotes for VXV from StockCharts.com and/or directly from the CBOE.
ReplyDeleteOn a real time basis, I get VXV quotes from TD Ameritrade's Command Center, but I rarely check it more than a couple of times during the day.
It is best to check with your broker to see if VXV is available on your trading platform -- and to confirm the ticker the broker uses.
Cheers,
-Bill
I have been trading for over 20 years and Vixandmore is DEFINITELY my now MOST FAVORITE site...i visit it daily. However, I would just like to clarify something. I believe that the SELL SIGNAL is in effect but the ratio is actually reversed...s/b VXV:VIX....see the follwoing CBOE website for explanation..
ReplyDeletehttp://www.cboe.com/micro/vxv/3monthvix.pdf
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