VIX at important level

Discussion in 'Technical Analysis' started by AAAintheBeltway, Sep 19, 2002.

  1. The VIX closed at 46.16. Every time since 1998, as far back as my data go, that it has closed this high has been an important low. Of course, VIX can go higher, the market can go lower and may well, and I would not rely just on the absolute level of VIX for a trading signal.
  2. Swish


    I've been watching VIX too, it seems when it closes above 50, there is always a bounce up for at least a few weeks.
  3. I too have been watching the VIX. While I think the odds are in favor of a bounce tomorrow, I still feel that there's room for one more day of significant down side action. July 22nd VIX closed at $48.23 which is higher than today and the 23rd was still a massacre (well, I guess down 180 points on the dow isn't really a massacre, but not a good day). The VIX screamed above 50 on the 24th and then did an about face and we were looking at the currently significant bottom. All I can say is that I'm going to be biased to the long side for the next couple of days and hope for the best. Also on top of the VIX reading, the Dow closed below the lower Bollinger band. Again, there is evidence that the bounce can happen tomorrow or the day after (or the day after that). Point is, we're due for a bounce.

    Tomorrow is a triple witching day as well so this should all be very interesting.
  4. billb2112,

    You make a good point. When I said an important low, I meant one that is important for investors on a multi-week or multimonth timeframe. I wouldn't try to use the absolute level of the VIX for daily timing. Trading Markets publishes signals for several VIX timing systems every night. I haven't checked it yet but I am sure at least one fired today, but some other ones clearly did not fire.
  5. Swish


    AAAintheBeltway - By different timing calcs on the VIX, do you mean they use different option periods?
  6. gwb-trading


    What about 1987.... didn't VIX stay above 50 for over a month
    when the market crashed.
  7. 3xA, If you mean a high VIX is a good intermediate timing signal,you are right, but you have to consider how it gets there too. Absolute VIX levels can fool you. In July, the VIX just about matched the highs of September, and did so after a steady rise from may then a parabolic blowoff July 22-24. But it gave rise the most anemic bounce of the Bear thus far

    If the market is entering a deep selloff now, and the VIX goes parabolic again, it could hit the 60s. In this scenario, buying now would put you 10-20% in the red before a capitulatory bottom is made.

    When the VIX implodes from high levels is a good long timing signal.
  8. Pabst


    Also keep in mind AAA, that at lower prices the market trades at higher volitility. I would examine data way back, before making a case that at these stages in a break vol. is too high. Just looking at some charts from 69-70 and man, that was some movement.
  9. Swish


    Yes, it was over or near over 50 through mid December.

    One thing to note on the VIX, if I understand it correctly, is that prior to 1993, the values were backcalculated back until Jan 86. VIX was not initiated until 93 by the CBOE.
  10. One of the founders of Trading Markets is a hedge fund manager named Larry Connors. He published a book I believe on using VIX, has a trading course on the site and also publishes timing signals every night. The site uses 5 different systems to generate signals. All more or less look for an extreme value and a reversal. They claim win percentages of 60-70%, but I'm not sure how they measure them. Last night only one signal fired long, which is triggered when VIX closes >10% from a MA. The signals have higher reliability when several go off together.
    #10     Sep 20, 2002