Directional systems Up S141 12/7; 4x1 3/4 Dn S2x1 3/3 The best for the short term is to go with the up move, but only until 4*0.5 = 2 points have been reached. That gives 12 points gain in 7 trades.
CFE Information Circular IC07-03 Date: March 7, 2007 To: CFE Trading Privilege Holders From: Research Department Re: Rescaling of VIX and VXD Futures Contracts CBOE Futures Exchange (CFE) is rescaling the CBOE Volatility Index (VIX) and the CBOE DIJA Volatility Index (VXD) futures contracts in order to bring the traded futures contract prices in line with the underlying index values published by the Chicago Board Options Exchange (CBOE). The rescaling will not change the dollar value of the VIX and VXD futures contracts, and it will not change the dollar value of each tick. The rescaling will be effective March 26, 2007 and will apply to all VIX and VXD futures contracts. Specifically, the rescaling will apply to all then existing VIX and VXD futures contracts, including those contracts first listed for trading on or before March 26, 2007, and will also apply to all future VIX and VXD futures contracts that are first listed for trading after March 26, 2007. CFE will rescale VIX and VXD futures contracts in two ways, as reflected in the example below. First, CFE will divide the VIX and VXD futures contracts by 10, thereby eliminating the Increased Value VIX (VBI) associated with VIX futures and the Increased Value VXD (DVB) associated with VXD futures. Instead of using VBI and DVB, CFE will base VIX and VXD futures contracts directly on the underlying index value. Second, CFE will increase the current multiplier for the VIX and VXD futures contracts from $100 to $1,000. As a result, the traded futures price will be reduced by a factor of ten and the minimum tick will be reduced from $0.10 to 0.01 index point, but the dollar value of both will remain the same.
Someone have the chart handy of the VIX that shows backtesting to include the '87 crash when it went to 150? I know I saw it somewhere ...
In attached graphics you see the vola levels in a 1 year timeframe. I expect the vola to go sideways the next 10 - 15 days. VIX could stay between 20 and 25.
I think its pretty safe to say volatility will remain at or near these levels until the FOMC meeting.... Not exactly going out on a limb there.
Historical and Implied Volatility of the VIX are going up in tandem. The HV is bigger than the IV (see attached chart). Do you know a stock that has 3 digit volas? VIX has.
Thankxs GG12, a great tool http://www.ivolatility.com/options.j?ticker=qqqq&R=0&top_lookup__is__sent=1