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reno4nook

Registered: Oct 2004
Posts: 498

10-20-05 12:38 AM

The VIX index closed at 13.50, down by 13.6% from today's open of 15.63.

According to my figures, this marks only the 7th time in the past 2 years that the index has gone down by 10% or more in a single day.

All of the other 6 times proved to be good buying opportunities as the S&P was up 10 trading days later every time. Will today make it 7 for 7??

Aug 18th 2004 - VIX down 17.5%
S&P closed at 1095. Ten trading days later it closed at 1105

Sept 21st 2004 - VIX down 14.5%
S&P closed at 1129. Ten trading days later it closed at 1134

May 25th 2004 - VIX down 13.3%
S&P closed at 1113. Ten trading days later it closed at 1131

Oct 30th 2003 - VIX down 11.5%
S&P closed at 1046. Ten trading days later it closed at 1058

April 21st 2005 - VIX down 11.2%
S&P closed at 1159. Ten trading days later it closed at 1172

July 7th 2005 - VIX down 10.2%
S&P closed at 1197. Ten trading days later it closed at 1227

Oct 19th 2005 - VIX down 13.6%
S&P closed at 1195. Ten trading days later ????

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SethArb

Registered: Jan 2002
Posts: 5785

10-20-05 02:03 AM

hi reno ... thanks for sharing that market "factoid"

are you able to answer this Q ?

what was the biggest drawdown in those 10 days
that followed each of those VIX trigger days ?

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aPismoClam

Registered: Jul 2002
Posts: 1043

10-20-05 02:15 AM

goodgawd, mate. look at the run - up preceding! that was news.

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PuffyGums

Registered: May 2002
Posts: 1500

10-20-05 02:32 AM

What I'd like is a true traders VIX, something that measures real volatility. Implied volatility has a directional bias. When the volatility is to the upside, the VIX actually declines. The VIX only increases when the volatility is to the bearish side.

VIX is the fear index, not a true measure of volatility.

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aPismoClam

Registered: Jul 2002
Posts: 1043

10-20-05 02:33 AM

the run up! that was the clue to the bounce. hello!

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Risk3

Registered: Aug 2004
Posts: 96

10-20-05 02:34 AM

Quote from reno4nook:

The VIX index closed at 13.50, down by 13.6% from today's open of 15.63.

According to my figures, this marks only the 7th time in the past 2 years that the index has gone down by 10% or more in a single day.

All of the other 6 times proved to be good buying opportunities as the S&P was up 10 trading days later every time. Will today make it 7 for 7??

Aug 18th 2004 - VIX down 17.5%
S&P closed at 1095. Ten trading days later it closed at 1105

Sept 21st 2004 - VIX down 14.5%
S&P closed at 1129. Ten trading days later it closed at 1134

May 25th 2004 - VIX down 13.3%
S&P closed at 1113. Ten trading days later it closed at 1131

Oct 30th 2003 - VIX down 11.5%
S&P closed at 1046. Ten trading days later it closed at 1058

April 21st 2005 - VIX down 11.2%
S&P closed at 1159. Ten trading days later it closed at 1172

July 7th 2005 - VIX down 10.2%
S&P closed at 1197. Ten trading days later it closed at 1227

Oct 19th 2005 - VIX down 13.6%
S&P closed at 1195. Ten trading days later ????

Market manipulation at its best! Options contracts expire on Friday!

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