tag:blogger.com,1999:blog-897456774486153841.post1606318405774570122..comments2024-03-28T06:07:36.391-07:00Comments on VIX and More: VIX OversoldBill Lubyhttp://www.blogger.com/profile/01241003017364820134noreply@blogger.comBlogger9125tag:blogger.com,1999:blog-897456774486153841.post-17761347175828711922007-09-27T12:25:00.000-07:002007-09-27T12:25:00.000-07:00Thanks for the corroboration and data dump, bzb, a...Thanks for the corroboration and data dump, bzb, and for offering up the TS code as well. <BR/><BR/>FYI, I subscribe to your feed and particularly enjoy the way you manage to weave the VIX into your daily market commentary. <BR/><BR/>Cheers and keep up the good work,<BR/><BR/>-BillBill Lubyhttps://www.blogger.com/profile/01241003017364820134noreply@blogger.comtag:blogger.com,1999:blog-897456774486153841.post-24646249606207288612007-09-27T12:12:00.000-07:002007-09-27T12:12:00.000-07:00Bill,As I am also an avid Vixophile, I tested the ...Bill,<BR/>As I am also an avid Vixophile, I tested the Vix Oversold situation in Tradestation with the Strategy Optimizer. I found that over the last 64 months there have been 136 occurrences of the VIX crossing 18% below the 12 day MA. If you bought the VIX on each of those occasions and then sold when the VIX crossed back over the 16 day MA, you would have been profitable on 111 or 82% of the trades. Average holding time for the winners was only 4 days, so when the VIX reverses, it tends to move quickly. I'll be glad to send the TS code (2000i format) to anyone who wants it.bzbtraderhttps://www.blogger.com/profile/11607843481812042367noreply@blogger.comtag:blogger.com,1999:blog-897456774486153841.post-49270045649490658802007-09-27T08:35:00.000-07:002007-09-27T08:35:00.000-07:00Thanks BillI got the chart setup.Thanks Bill<BR/><BR/>I got the chart setup.pikhttps://www.blogger.com/profile/07232392792291613838noreply@blogger.comtag:blogger.com,1999:blog-897456774486153841.post-44558662768870545732007-09-27T08:07:00.000-07:002007-09-27T08:07:00.000-07:00Ben,I think another significant volatility spike i...Ben,<BR/><BR/>I think another significant volatility spike is just around the corner -- and it will catch more investors by surprise than it should.<BR/><BR/><BR/>Andy,<BR/><BR/>The easy part first: the VIX generally moves simultaneously in the opposite direction of the SPX, but I will have <B>lots</B> more to say about this subject soon.<BR/><BR/>Regarding StockCharts.com, the VIX:SDS ratio has gotten much more interesting in the past two days as it has slipped under the 100 day SMA. In setting up your own version of this chart, the hardest parts are:<BR/><BR/>1) the entry for the 'Symbol' in the upper left corner (make it "$VIX:SDS" -- without the quotation marks) <BR/><BR/>2) to get the SPX chart in the background, go to the indicators boxes below the chart, highlight 'Price' and watch the program fill in the default settings of "$SPX" in the 'Parameters' Box and "Below" in the 'Position' Box. In the 'Position' Box, use the pull down menu to highlight "Behind Price" and you are done. You will now get a default chart of the SPX in the background. If you prefer the area chart I have, click on 'Advanced Options' to the right and enter the following data: 'Style' -> "Area"; 'Color' -> "Gray"; 'Opacity' -> "0.5"<BR/><BR/>I hope this helps.<BR/><BR/>-BillBill Lubyhttps://www.blogger.com/profile/01241003017364820134noreply@blogger.comtag:blogger.com,1999:blog-897456774486153841.post-81468898821252910032007-09-27T07:51:00.000-07:002007-09-27T07:51:00.000-07:00Hi Bill,Can you tell me how you setup the chart fo...Hi Bill,<BR/><BR/>Can you tell me how you setup the chart for $VIX:SDS in stockcharts? I seem to be missing a setup.<BR/><BR/>Also,<BR/><BR/>I was wondering is the VIX a lagging indicator. Meaning does it move after the market moves?<BR/><BR/>Thankspikhttps://www.blogger.com/profile/07232392792291613838noreply@blogger.comtag:blogger.com,1999:blog-897456774486153841.post-78326651935365596082007-09-27T07:49:00.000-07:002007-09-27T07:49:00.000-07:00The absolutely terrible New Home Sales numbers are...The absolutely terrible New Home Sales numbers are currently being spun as, "Well, that was BEFORE the rate cuts."<BR/><BR/>Another example is GM went up on news of the strike because a strike would let GM clear some inventory. Then GM went up on news that the strike was over, because thats good for GM.<BR/><BR/>Everything is good news. Reminds me of the Tech Bubble days when reality was just irrelevant.Ben Bittrolffhttps://www.blogger.com/profile/12465978905157927856noreply@blogger.comtag:blogger.com,1999:blog-897456774486153841.post-21007686247616266022007-09-26T15:34:00.000-07:002007-09-26T15:34:00.000-07:00f-trader,Speaking of RVX, options on the RVX and V...f-trader,<BR/><BR/>Speaking of RVX, options on the RVX and VXN <A HREF="http://vixandmore.blogspot.com/2007/09/vxn-and-rvx-options-coming-september.html<br/>" REL="nofollow">start trading tomorrow</A>. <BR/><BR/><BR/>Felix,<BR/><BR/>I follow the VIX with both BBs and SMA deviations/envelopes. For the most part, my analysis and trading favors SMAs over BBs, but the general principles are the same, regardless of the indicator used. <BR/><BR/>Regarding your broader question, as the VIX is a derivative, I'm not sure how much in the way tradition chart reading analysis is meaningful. Even, for instance, whether basic support and resistance makes sense. I am slowly becoming more liberal in my use of TA vis-a-vis the VIX, but not without some consternation.<BR/><BR/>With respect to the VWSI and futures, I have thought of several interesting tweaks to the VWSI and may choose to make these public and/or implement them in the near future. With futures, I think there is a lot of useful information in there, whether it gets folded into the VWSI or not. One of the ideas I had was to develop VIX-like indices that look forward 90 and 180 days instead of the 30 days considered by the VIX. Something to think about, anyway.<BR/><BR/>Cheers,<BR/><BR/>-BillBill Lubyhttps://www.blogger.com/profile/01241003017364820134noreply@blogger.comtag:blogger.com,1999:blog-897456774486153841.post-26250667191339511242007-09-26T13:19:00.000-07:002007-09-26T13:19:00.000-07:00Yes, isn't it strange that, on the same day the Na...Yes, isn't it strange that, on the same day the Nasdaq 100 broke out to a new 52-week high (with a pretty <I>doji</I>), BIDU sold off over 11 points as some (smart?) traders were getting out? It makes one think. :)<BR/><BR/>Though I stand by my comments yesterday about top-calling being a difficult way to make a living, it looks like you nailed it.<BR/><BR/>Today's gains in the major indices appears on first glance to be encouraging, but I'm looking at the markedly weak volumes and thinking.... ehhh. Or worse, are we being <I>gamed</I> here? :)<BR/><BR/>I had assumed you used Bollinger Bands rather than fixed %age bands from the SMA for your mean-reversion calculations on the VIX, but perhaps I was mistaken. Does VIX's volatile nature limit, in your mind, the usefulness of applying certain technical analysis studies to it?<BR/><BR/>Also, I'm assuming the VWSI reading applies to the VIX, but not necessarily to the VIX futures... would you consider a similar indicator for the front-month futures prices? <BR/><BR/>Best regards,<BR/>FelixUnknownhttps://www.blogger.com/profile/08973121802521561266noreply@blogger.comtag:blogger.com,1999:blog-897456774486153841.post-68279366409146733112007-09-26T11:25:00.000-07:002007-09-26T11:25:00.000-07:00I'm not sure how much more of a meaningful dip we'...I'm not sure how much more of a meaningful dip we're going to get especially with earnings season coming up and many bullish factors like investment manager performance anxiety, end-of-quarter markup, etc.<BR/><BR/>It seems to me that the VIX and RVX are saying that fund managers are bullish and even dips like yesterday are not causing fears. This is bullish in the intermediate-term at the least.F-Traderhttps://www.blogger.com/profile/09652687845022318907noreply@blogger.com