tag:blogger.com,1999:blog-897456774486153841.post7814287887263784444..comments2024-03-18T03:31:52.739-07:00Comments on VIX and More: Schaeffer and Connors: Two Veteran Perspectives on the VIXBill Lubyhttp://www.blogger.com/profile/01241003017364820134noreply@blogger.comBlogger10125tag:blogger.com,1999:blog-897456774486153841.post-301183577242887872009-01-03T10:40:00.000-08:002009-01-03T10:40:00.000-08:00Hi Bob,Thanks for some excellent input. Even with ...Hi Bob,<BR/><BR/>Thanks for some excellent input. <BR/><BR/>Even with Friday's breakout, I still think we are range bound for a while longer. I may be one of the few with a short-term bearish bias at the moment.<BR/><BR/>Cheers and Happy New Year,<BR/><BR/>-BillBill Lubyhttps://www.blogger.com/profile/01241003017364820134noreply@blogger.comtag:blogger.com,1999:blog-897456774486153841.post-41588269552106095782009-01-03T10:35:00.000-08:002009-01-03T10:35:00.000-08:00I am the last anon to comment.Bill, i agree there ...I am the last anon to comment.<BR/><BR/>Bill, i agree there is a lot of capital waiting to get in.<BR/><BR/>But we should see yields increasing in TIPS and a rally in Baa corporate bonds before calling a new equity bull trend.<BR/><BR/>Those 2 instruments lead the 2002 recovery in equities.<BR/><BR/>So far, 5 year tips are pricing almost zero inflation, and corporate bonds are at extreme low levels.<BR/><BR/>keep up good analysis !<BR/><BR/>cheers.<BR/><BR/>BobAnonymousnoreply@blogger.comtag:blogger.com,1999:blog-897456774486153841.post-84784159835505189062009-01-03T10:19:00.000-08:002009-01-03T10:19:00.000-08:00Peter,Good comment. It is something I will look t...Peter,<BR/><BR/>Good comment. It is something I will look to address in the future. As an aside, there are two flavors of this divergence, one that happens prior to the NYSE closing and another that happens in the 15 minutes after the NYSE closes and before index trading ends. Yesterday we had spikes in both time frames.<BR/><BR/>Nirvanic,<BR/><BR/>I think you are at least partially correct here. The VIX spike usually means massive SPX front month put buying, but that isn't always the case.<BR/><BR/>Anon 1,<BR/><BR/>The large spread between the 20 day and 30 day HV of the SPX is very unusual...and is the result of the length of the lookback period, with the 30 day still picking up some volatile days before the holiday volatility crush. <BR/><BR/>While I would expect this to be a bearish development, my research is more neutral on the subject.<BR/><BR/>Anon 2,<BR/><BR/>Thanks for the heads up on the Nova/Ursa extremes, which I don't follow like I used to.<BR/><BR/>Regarding fuel, there is not a lot of it and it cannot be leveraged like it once was, but a large portion of it is on the sidelines.<BR/><BR/>Cheers,<BR/><BR/>-BillBill Lubyhttps://www.blogger.com/profile/01241003017364820134noreply@blogger.comtag:blogger.com,1999:blog-897456774486153841.post-88637454564039664072009-01-03T06:22:00.000-08:002009-01-03T06:22:00.000-08:00We will probably see a correction soon after this ...We will probably see a correction soon after this rally. Thats not a difficult prediction to make.<BR/><BR/>I wonder if the trend has changed for 2009.<BR/><BR/>My guess is, we will trade sideways, with volatility spikes all over the year.<BR/><BR/>There's simply not enough fuel to pump a bull market, and the fed is unlikely to let everything melt.<BR/><BR/>Worst case scenario ? Commodities pick up on weak dollar and higher inflation, real consumption down : stagflation.Anonymousnoreply@blogger.comtag:blogger.com,1999:blog-897456774486153841.post-18918871327749567302009-01-03T05:07:00.000-08:002009-01-03T05:07:00.000-08:00Hi, I'm rathyer new on this blog, i would like...Hi, I'm rathyer new on this blog, i would like to submit the following comments about yesterday's situation. First, the ratio nova/ursa extremely high:<BR/>http://www.schaeffersresearch.com/streetools/market_tools/rydex_nu.aspx <BR/><BR/>Now, looking at VIX, we have a strong reversal in the last minutes close to a several months minimum: http://finance.yahoo.com/q/bc?s=^VIX&t=1d&l=on&z=m&q=l&c=<BR/><BR/>All this after a strong increase of stock indexes with very tiny transaction volumes and a ratio Put/Call which goes close to its one-year minimum,<BR/>http://www.market-harmonics.com/free-charts/sentiment/pcvi.htm<BR/><BR/>My question would be: does all this constitute a reliable signal for a market correction ?<BR/><BR/>Thanks for reading and happy new year to everyone!<BR/>--<BR/>LaurentAnonymousnoreply@blogger.comtag:blogger.com,1999:blog-897456774486153841.post-11722336022597135512009-01-02T19:51:00.000-08:002009-01-02T19:51:00.000-08:00bill what does your comment on vix 20 day and 30 d...bill what does your comment on vix 20 day and 30 day hv imply ?Anonymousnoreply@blogger.comtag:blogger.com,1999:blog-897456774486153841.post-55971062644578984492009-01-02T17:25:00.000-08:002009-01-02T17:25:00.000-08:00VIX spiked during last 3min of trading which indic...VIX spiked during last 3min of trading which indicates to me that some big players went short SPX futures contracts in a big way.<BR/><BR/>Is that an accurate take?<BR/><BR/>NirvanicAnonymousnoreply@blogger.comtag:blogger.com,1999:blog-897456774486153841.post-59566195649801592102009-01-02T13:50:00.000-08:002009-01-02T13:50:00.000-08:00BillMy data shows a sharp VIX reversal into the cl...Bill<BR/><BR/>My data shows a sharp VIX reversal into the close today. I have seen mentions of this type of behavior before when there is no corresponding reversal in the SPX. Could you give any perspective on the importance (or lack of)of this in upcoming posts?Pete Birchlerhttps://www.blogger.com/profile/03979249321821901449noreply@blogger.comtag:blogger.com,1999:blog-897456774486153841.post-3659900183095779982009-01-02T09:51:00.000-08:002009-01-02T09:51:00.000-08:00Yes...and the VIX:VXV ratio is at 0.92.Here is the...Yes...and the VIX:VXV ratio is at 0.92.<BR/><BR/>Here is the interesting factoid: the VIX is 8% <I>above</I> the 20 day SPX HV, but 44% <I>below</I> the 30 day SPX HV (coming into today).<BR/><BR/>Still, on balance I'm bearish at the moment, even with all the cash sitting on the sidelines.Bill Lubyhttps://www.blogger.com/profile/01241003017364820134noreply@blogger.comtag:blogger.com,1999:blog-897456774486153841.post-82990260190756530152009-01-02T09:41:00.000-08:002009-01-02T09:41:00.000-08:00The vix is currently 13% below its 10 day sma.The vix is currently 13% below its 10 day sma.Anonymousnoreply@blogger.com