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VIX Spike of 35% in Four Days Is Short-Term Buy Signal
vixandmore.blogspot.com - 10/29/2009
VIX Spike of 35% in Four Days Is Short-Term Buy Signal
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It has been awhile since I posted one of my VIX studies and given the recent spike in the VIX, today’s action seemed like a good excuse to revisit the idea of VIX spikes as contrarian bullish mean reversion buying opportunities. Today the VIX closed at 27.91, which is up 34.9% in the four ...
Pullback Surpasses 2009 Mean
vixandmore.blogspot.com - 10/30/2009
Pullback Surpasses 2009 Mean
— vixandmore.blogspot.com — While this might not provide a great deal of comfort to longs, I have updated the VIX... and More Pullback Table to reflect today’s selloff. The table shows that the peak to trough drop of 66.73 points (6.1%) in the SPX has exceeded the 2009 average of 5.8%. As noted previously, a 5.8% pullback ... (more) Pullback Surpasses 2009 Mean

Comments vote down VIXandMore VIXandMore posted 10/30/2009posted this
The VIX:VXV Ratio, Availability Bias and Disaster Imprinting
vixandmore.blogspot.com - 30 days ago
The VIX:VXV Ratio, Availability Bias and Disaster Imprinting
— vixandmore.blogspot.com — Once a popular subject in this space, the VIX:VXV ratio appeared to be a casualty of the... financial turmoil and record volatility spikes in October 2008, when the ratio spiked to record levels an generated a buy signal that turned out to be nothing short of a disaster. I was not yet ready to ... (more) The VIX:VXV Ratio, Availability Bias and Disaster Imprinting

Comments vote down VIXandMore VIXandMore posted 30 days agoposted this
vixandmore.blogspot.com - 10/30/2009
The Calendar Effect and Time Decay
— vixandmore.blogspot.com — Since the beginning of last year, I have periodically discussed what I call “ calendar reversion ,”... which is essentially a phenomenon caused by the fact that the VIX is priced according to the calendar, but only calculated during trading days. The long and the short of this chronological ... (more) The Calendar Effect and Time Decay

Comments vote down VIXandMore VIXandMore posted 10/30/2009posted this

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Abnormal Returns:  Thursday links: uncorrelated returns

Daily Options Report:  And That VIX Spike

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Thursday links: uncorrelated returns
Abnormal Returns — A couple of short-term oversold measures.  (VIX and More, Quantifiable Edges) Most investors would have been better off doing nothing the past eighteen months.  (IndexUniverse) Paul Tudor Jones, gold and the future of hedge funds.  (The Pragmatic Capitalist, market folly, FT Alphaville, DealBook) “High-velocity hedge funds aren’t really about ...

And That VIX Spike
Daily Options Report — Pretty extreme VIX move out of the blue the past week. And it bodes quite well for the short term market, as Bill Luby notes. Today the VIX closed at 27.91, which is up 34.9% in the four trading days since Thursday’s close of 20.69. Over the course of the 20 year history of the VIX, the volatility index has posted close-to-close four day gains of 35% on 42 occasions. If you strip out the consecutive instances of +35% days, this leaves 27 instances in which the VIX crossed above +35% in four days. I have reproduced the full table of ...

Related: how to buy vix
VIX Spike Of 35% In Four Days - A Short-Term Buy Signal — Daily Markets
It has been awhile since I posted one of my VIX (^VIX) studies and given the recent spike in the VIX, Wednesday’s action seemed like a good excuse to revisit the idea of VIX spikes as contrarian bullish mean reversion buying opportunities. Wednesday the VIX closed at 27.91, which is up ...