The VIX and its 200 MA

Discussion in 'Strategy Development' started by Babak, Apr 11, 2003.

  1. Babak


    Just a quick update on this topic. The difference between the VIX and its 200 MA is 9.38 after the close on 4/14/03. This is the highest reading in a long time. The difference for the 50 and the 150 MA is also quite high, pointing to a 'top' signal.

    Will be interesting to see this unfold. :)
    #11     Apr 15, 2003
  2. These are top signals, but they are most reiliable with other top readings, like a high Mcclellan Ocscillators, its SUmmation Index.
    And, I Like to see high readings on bullish% index.

    THe latter two are heading upward and maybe entering a topping out period.

    The VIX activity now short term suggests some corrective response due today or tomorrow, but until other indicators lin eup with a vix like this, an intermediate top won;t be in place.

    Caveat: I am short 88.6 SPY as of yesterday
    #12     Apr 15, 2003
  3. trdrmac


    I was wondering if someone was going to address this, good thread Babak. I have been feeling more and more cautious, even if it is hard on days like this.

    One thing I have been wondering is if the SSFs are having an impact on the VIX. The Put Call Ratio is not showing a terrible amount of piggyness in call buying. I would think that it would be showing a stronger conviction with the Vix being so low.

    Any thoughts on how the new Futures may change the Vix Readings?
    #13     Apr 15, 2003
  4. Babak


    #14     Apr 17, 2003
  5. fleance


    Here is chart of QQQ v s VIX (green) and VXN/QQV (orange/pink)

    QQQ been treading water past 2 weeks while VIX/VXN have plummeted. Doesn't mean we can't go higher, but it reduces the momo short crushing potential.

    That was an interesting article. I think I've read his stuff before. Even though he's a permabear, his research is very thorough and original.

    According to the article, a relative VIX of < 0.80 could signal a top. Well, based on today's VIX close, the VIX relative to 200dma is 0.69 ! Hmm, I better be careful chasing the momo on monday!

    #15     Apr 17, 2003
  6. Babak



    I hardly think Hamilton is a 'permabear'. Here is what he wrote on Oct 4 2002 just before the HUGE bear market really:

    "The SPX/VIX ratio has thrown off a massive buy signal and speculators should consider paying attention."

    "If the SPX/VIX ratio proves true to its golden historical track-record, we are in for a spectacular bear market rally that will knock the socks off those not expecting it and yield legendary profits for those who are."
    #16     Apr 17, 2003
  7. fleance


    #17     Apr 21, 2003
  8. the vix is a good fear\bottom indicator on spikes but it is a poor greed\top indicator. the vix can stay at low levels for a long time. i wouldnt make a trade on a low vix reading alone.
    #18     Apr 21, 2003
  9. Pabst


    Good thread Babak. Just my 2 cents. Plunging volatility coupled with the low P/C ratios we've seen lately might mean large call selling. That folks could be a bull item.

    Just trying to give you the flipside to conventional wisdom.
    #19     Apr 21, 2003
  10. Agreed.

    Starting to think that since so many are looking at it here as "too low", it's probably going lower, and the market's gonna trade higher.

    Recall only last May/June it was 19 or so; at 24 and change we can easily bump the top of the recent trading range 950-975 SP.

    I think all these new hedgies created from the past few years are pressing the downside, just as the retail daytrader of the late 90s did the opposite.

    Thereby creating a wide and loose range on the VIX, given that historical vols run about 12-15%.
    #20     Apr 21, 2003