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VIX open interest


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#1 LMF

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Posted 08 February 2020 - 10:32 AM

I like Tom Mcclellans study from last year on the VIX OI data......since around 2017 significant market highs have formed with the OI north of 600,000 contracts.  That process can take a while so it's not a timing tool, just a good indicator the flag is going up the pole.  His theory was that the 600k level seems to be where the smart money starts to pile in and the OI reflects it pretty good.  Peak open interest recently was as high as 549k in mid November, but the rest of the time at or below 450k. My price target on QQQ is around 240 based on the year long bottom formation in 2019.  Still higher to go, consistent with the bullish sentiment period thru May.  This runup is getting steeper with time on the NDX, so we should see it eventually in the VIX data. 

 

Lee



#2 Douglas

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Posted 08 February 2020 - 12:54 PM

Lee, I found this VIX data one day delayed at https://markets.cboe...istorical_data/.  Is there a better source that graphs the data too saving me from having to keep up with another one?  Thanks for another indicator to track.  It does seem to tag important tops.  If you massage the data with a very long stochastic, you can also tease out calls for intermediate type tops too.  Thanks again.

 

Regards,

Douglas


Edited by Douglas, 08 February 2020 - 12:56 PM.


#3 LMF

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Posted 08 February 2020 - 01:44 PM

Try this address to get to the original presentation on VIX futures......

 

https://www.mcoscill..._open_interest/

 

I use the Friday COT report to get the current OI numbers.......

 

https://www.cftc.gov...s/deacboesf.htm

 

You have to wade down into the CFTC website to get to the VIX COT historical data, that matches the link above.

 

Lee



#4 Douglas

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Posted 08 February 2020 - 05:28 PM

Thanks, Lee. I'll be keeping an eye on this.  It looks like it only really starts to rumble when the VIX is quite low.  Nice that it doesn't seem to give too many signals, so when it does, you can take it seriously.  

 

Regards,

Douglas


Edited by Douglas, 08 February 2020 - 05:29 PM.


#5 Harapa

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Posted 08 February 2020 - 09:40 PM

"https://markets.cboe...a/cfevoloi.csv"

 

2nd # is VIX OI


My comments are for entertainment/educational purpose only. All posted trades are fake (aka. paper) trades.


#6 OEXCHAOS

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Posted 10 February 2020 - 12:25 PM

That's good stuff. Thanks!


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