35 replies to this topic

[ogm]

Ok, maybe its a bit of an exaggeration.

VIX daily RSI has spiked to 75. This has occurred only 14 times in the past 20 years and included some major lows. 10 times if you add a condition that VIX spikes over 22. I ran a quick strategy that says if you buy on a day like that, 80% chance to sell with a good profit 3 days later. The couple failures have occurred in 2001 and 2008. 2001 was just a couple days early, before a big rally started, and 2008 was a real failure.

This isn't even a once a year event.

At the same time the NYSE daily chart doesn't look that scary at all. Looks like a pullback to moving averages.

Actually the broadest Indexes.. NYSE and RUT look the best.

Notice the magnitude of the declines on the days VIX RSI broke 70 last couple times. I'm thinking the Fear is way overdone here.

Edited by ogm, 29 December 2012 - 07:51 AM.

[Om_Namah_Shivay]

Ok, maybe its a bit of an exaggeration.

VIX daily RSI has spiked to 75. This has occurred only 14 times in the past 20 years and included some major lows. 10 times if you add a condition that VIX spikes over 22. I ran a quick strategy that says if you buy on a day like that, 80% chance to sell with a good profit 3 days later. The couple failures have occurred in 2001 and 2008. 2001 was just a couple days early, before a big rally started, and 2008 was a real failure.

This isn't even a once a year event.

At the same time the NYSE daily chart doesn't look that scary at all. Looks like a pullback to moving averages.

Actually the broadest Indexes.. NYSE and RUT look the best.

Notice the magnitude of the declines on the days VIX RSI broke 70 last couple times. I'm thinking the Fear is way overdone here.

good observation....now either price is wrong i.e din correct as much as last 20 times before vix rsi hit above 70.......i love analysis of derivatives of price or i shud say double triple derivative of price to read prices.....kind of conundrum ain't it.....

[ogm]

good observation....now either price is wrong i.e din correct as much as last 20 times before vix rsi hit above 70.......i love analysis of derivatives of price or i shud say double triple derivative of price to read prices.....kind of conundrum ain't it.....

VIX isn't exactly a derivative of price. Its more of a sentiment indicator.

[DrSP]

Ogm, If you are looking at a market rally, there is a high chance of that happening with VIX going down. But, VXX/ UVXY going down? I doubt it because of the backwardation set in right now. http://www.cboe.com/...uresprices.aspx So, even if the market rallied for few days here, UVXY may not plunge much now but just stabilise here before the market goes down again and UVXY rallying up.

[ogm]

Ogm, If you are looking at a market rally, there is a high chance of that happening with VIX going down. But, VXX/ UVXY going down? I doubt it because of the backwardation set in right now. http://www.cboe.com/...uresprices.aspx So, even if the market rallied for few days here, UVXY may not plunge much now but just stabilise here before the market goes down again and UVXY rallying up.

I don't think VIX over 20 is sustainable here. I've actually added UVXY at 31 after hours. I'll make money on it, if not tomorrow then a week from now. I can wait.

We're in a very thin, holiday market, and the time for tax selling is ending. Once that is behind us, and the FC proves to be a non event, volatility will die down.

UVXY carries front and second month volatility, I certainly don't see the news flow that would justify rise of volatility in the future, sustainable beyond this short term spike. This is all very temporary.

Edited by ogm, 29 December 2012 - 04:08 PM.

[IYB]

Interesting post ogm. I did a similar study in the weekend report which will be published tonight or tomrw morn. In the last five years, SPX:VIX closed below the lower BB by 9 points or more with CCI <-150 and Stoch under 20 exactly four times - May 7, 2010, August 8, 2011, April 10, 2012, and yesterday, December 29, 2012. The average change five days later was +60 SPX points...

http://stockcharts.com/c-sc/sc?s=$SPX:$VIX&p=D&yr=0&mn=6&dy=15&i=p58469182755&a=270840191&r=1356819956736.png

[MikeyG]

Interesting post ogm. I did a similar study in the weekend report which will be published tonight or tomrw morn. In the last five years, SPX:VIX closed below the lower BB by 9 points or more with CCI <-150 and Stoch under 20 exactly four times - May 7, 2010, August 8, 2011, April 10, 2012, and yesterday, December 29, 2012. The average change five days later was +60 SPX points...

http://stockcharts.com/c-sc/sc?s=$SPX:$VIX&p=D&yr=0&mn=6&dy=15&i=p58469182755&a=270840191&r=1356819956736.png

Don, seems the BPCOMPQ is holding your signal back...

Any thoughts on switching to BPNYA or BPSPX, seems you would have gotten sells with those along with the other 6...

[DrSP]

Don, seems the BPCOMPQ is holding your signal back...

Any thoughts on switching to BPNYA or BPSPX, seems you would have gotten sells with those along with the other 6...

I was gonna say the same. All day/ weekly "13 EMA"s are above the prices = sell. The trend is down. And they are expecting would be, should be............no idea based on what.

[SemiBizz]

Because of the fact we saw EXTREME PRICE DESTRUCTION on EXTREMELY LIGHT VOLUME, this market is now subject to a VERY SHARP BEAR SPIKE RALLY. I say "Bear Spike" because at this time, the TREND as defined by VOLUME turned DOWN on 12/21 on Blowout Volume that canceled the test of the September Highs. We expect STRONG VOLUME in the Next week per seasonals as well as a 12 Year Gann-iversary on 1/3/13. If this is going to turn back up, it will be as a result of a Price Rejection on the expected BLOWOUT VOLUME. For now however, and until proven otherwise, the Trend is DOWN...

[TTrader47]

Ogm, If you are looking at a market rally, there is a high chance of that happening with VIX going down. But, VXX/ UVXY going down? I doubt it because of the backwardation set in right now. http://www.cboe.com/...uresprices.aspx So, even if the market rallied for few days here, UVXY may not plunge much now but just stabilise here before the market goes down again and UVXY rallying up.

I don't think VIX over 20 is sustainable here. I've actually added UVXY at 31 after hours. I'll make money on it, if not tomorrow then a week from now. I can wait.

We're in a very thin, holiday market, and the time for tax selling is ending. Once that is behind us, and the FC proves to be a non event, volatility will die down.

UVXY carries front and second month volatility, I certainly don't see the news flow that would justify rise of volatility in the future, sustainable beyond this short term spike. This is all very temporary.

Very well said. UVXY is mostly for suckers that read too much zerohedge. TZA can be found in their portfolio as well.

You are exactly right when you stated that you may not be right for the first day or so, but in a week or 2 weeks, that is going be a great buyback.

One final point. SPY is sitting at .618 retrace of September to November low...