Vix Under 20.00

Discussion in 'Trading' started by waggie945, Jul 24, 2003.

  1. man

    man

    strange. the cboe is not too celar on their website and it could be that nitro is referring to something slightly different. the only way to finally check this is to look at all expiration days and analyse VIX' behaviour on these days. do you how to get a list of all expiration days of the last ten years or so?


    peace
     
    #31     Aug 5, 2003
  2. nitro

    nitro

    All you have to do is watch as expiration approaches.

    From the CBOE (emphasis below mine):

    "OPTIONS CORNER - August 30, 2001

    QUESTION:
    What does the volatility index (VIX) measure and how is it useful to a trader or investor?

    ANSWER:
    One measure of the level of implied volatility in index options is CBOE's Volatility Index, known by its ticker symbol VIXSM. VIX, introduced by CBOE in 1993, measures the volatility of the U.S. equity market. It provides investors with up-to-the-minute market estimates of expected volatility by using real-time OEX index option bid/ask quotes. This index is calculated by taking a weighted average of the implied volatilities of eight OEX calls and puts. The chosen options have an average time to maturity of 30 days. Consequently, the VIX is intended to indicate the implied volatility of 30-day index options. It is used by some traders as a general indication of index option implied volatility. Implied volatility levels in index options change frequently and substantially. Consequently, when trading short-term index options, traders should forecast the index level, the time period, and the volatility level. Traders of long-term index options should also include a forecast of interest rates. (The volatility discussions above are excerpts from the book Trading Index Options by James B. Bittman.) Additionally, the CBOE has added the Nasdaq Volatility Index (ticker symbol: VXNSM) which is the newest benchmark of "technology stock" volatility based on the implied volatility of Nasdaq-100 Index (NDX) options. Calculated using the same methodology as the CBOE Market Volatility Index VIX, VXN is constructed so that, at any given time, it represents the implied volatility of a hypothetical at-the-money NDX option with 30 calendar days to expiration. The CBOE Nasdaq Volatility Index is calculated and disseminated every 60 seconds throughout the trading day beginning at 8:45 a.m. (Chicago time) and ending at 3:00 p.m. Historical index levels are available from January 1995.
    "
    http://www.cboe.com/common/pageview...dir=lcoptionscorner&head=options corner&sec=6
     
    #32     Aug 5, 2003
  3. nitro

    nitro

    Crosses above 25 (25.80) and slams below 25.00 to close at about 23.30.

    If this doens't trigger some VIX systems to take a position, I do not know what would.

    nitro
     
    #33     Aug 6, 2003
  4. Don't you think some were already triggered today accounting for the midday bounce back? The momentum died by end of day it seemed though.

    Maybe some late comers kicking in tomorrow morning??
     
    #34     Aug 6, 2003
  5. nitro

    nitro

    Do you see the cross above 25 and back below as bullish or bearish? Perhaps it is a two part question - maybe you saw the convincing crossing above 25 as bullish, but now seeing the total lack of follow thru and VIX crossig back below 25 as bearish?

    To be honest, I place far greater emphasis on the "feel" of the way the pace and the way the heavy weighted stocks react to the action. I also look to see if the spoos are leading the bonds (yields) or the other way around.

    IMHO, the market lifted today after the government bond auction was over or close to over (yields leading spoos,) then traded sideways and the pros closed the market lower.

    If the $5 Trillion in cash waiting to be invested that is sitting on the sidelines does not come into the market soon, and instead is stalking looking for panic to enter and it only does so in such a case, I have no idea what is (would) hold this market up.

    On the other hand, it is NQ that is weak here. ES held 965 ish support more than once today (even yesterday, the thought of 965 terrified the shorts, until they saw a weak and vulnerable animal...)There does seem to be some rotation out of high tech going on...

    nitro
     
    #35     Aug 6, 2003