VIX and More

Tuesday, July 31, 2007

Links: Play it Where it Lies

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It has been almost a month since I posted my last set of links, so I am going to bend the rules a little to incorporate posts of note from ...

The SPX:VIX Ratio, the Mean Reversion Magnet, and Fun With Numbers

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During all the excitement of the past week, quite a few indicators printed extreme readings. One that was all over the press was the surge...
4 comments:
Monday, July 30, 2007

RUT Hedge Fund Puke?

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On the off chance that there are readers out there who have not bothered to read Bernie Schaeffer’s market commentary because it requires a ...
17 comments:

Hedging Volatility with CME

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In the wake of the February 27th spike in volatility, I recommend going long the Chicago Mercantile Exchange (CME) , now know as CME Group ...
1 comment:
Sunday, July 29, 2007

Portfolio A1 Last Seen in Woodshed

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While the SPX, DJIA and NASDAQ Composite all feel somewhere in the 4.0 - 4.7% range during the past week, Portfolio A1 plummeted 9.2%, dragg...
Saturday, July 28, 2007

VIX Spikes to 24.17, VWSI at -10

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Thanks to an unusual 1.20 surge from 4:00 – 4:15, the VIX managed to spike all the way up to a 24.17 close on Friday, ending the week up 7....
1 comment:
Friday, July 27, 2007

VIX Soaring in 4:00 - 4:15 Window

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For those who may not be aware of it, the VIX trades from 9:30 to 4: 15 ET, with that additional 15 minutes following the close of regular ...
5 comments:

The Return of the Absolute VIX

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When I started this blog, back in January of this year, it was widely accepted that volatility had died, crushed by the weight of an ocean o...
1 comment:
Thursday, July 26, 2007

Some Data on Post-Spike Performance

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Back on February 27th, I posted about what typically happens following a 20% and 30% VIX spike. At a high of 23.37, the VIX was recently up...
5 comments:

VIX 21.50 = Blood in the Streets

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In panic there is always the greatest opportunity. I am long equities and short the VIX, as we are at VWSI -10.
6 comments:

Today's VWSI of -10 Threshold is at 21.25

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It the VIX jumps up to that level, it might signal a capitulation of sorts. For what it's worth, I am starting to get short the VIX as i...

One Approach for Volatile Sideways Markets

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About two months ago , I talked about three different buy-write products (two closed-end funds and an exchange-traded note or ETN) which are...
Wednesday, July 25, 2007

VIX at 19.46

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Time to buy equities...
2 comments:
Tuesday, July 24, 2007

VIX Has More Room to Run

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Thanks in part to a strong earnings report from Amazon (AMZN) , the VIX dropped back to 18.55 by the time of its 4:15 ET close, down from a...

Earnings Spike Potential Algorithm v1.1

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First there was the VWSI, now it seems like I am going to try to get ESPA ( Earnings Spike Potential Algorithm ) off the ground. This imme...
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About Me

Former Chief Investment Officer at Luby Asset Management LLC in Tiburon, California. Previously worked as a full-time trader/investor and also a business strategy consultant. Education includes a BA from Stanford and an MBA from Carnegie Mellon. Useless trivia: I once broke the world pogo stick jumping record without knowing it.
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