guspenskiy13
976 posts
msg #122607
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modified |
1/25/2015 3:16:02 PM
It's all about the SKEW, when funds start to hedge tail risk actively...shit hits the fan...
http://stockcharts.com/h-sc/ui?s=!SKEW&p=D&yr=1&mn=0&dy=0&id=p59780210475
Paper by CBOE here: http://www.cboe.com/micro/skew/documents/skewwhitepaperjan2011.pdf
I'm thinking of making some technical signals...empirically it seems that shortly after sudden spikes into high numbers, which could be translated into "out of BB's and long CCI falls below 100" are lethal.....sooner or later....
Quite powerful sell/buy signals....
P.S.
I don't have any number for VIX to SKEW correlation, but it is rather negative than positive. When SKEW is at lows - VIX is high and vice versa. However, it would be interesting to look at the correlation with a multiple-day displace....run an auto-correlation
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Eman93
4,750 posts
msg #122625
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1/26/2015 10:31:49 PM
If you watch the vix and it is at resistance and the sp is at support.. its a better long set trade imho. I mainly use just horizontal support levels..
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guspenskiy13
976 posts
msg #122627
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1/27/2015 9:38:29 AM
About the $SKEW - last day stockcharts present is jan 15 - here it's updated: http://www.barchart.com/chart.php?sym=$SKEW&t=LINE&size=M&v=0&g=1&p=D&d=X&qb=1&style=technical
VIX and resistance - probably yes, when VIX is high - buying makes more sense, buying the dip.
VIX and support - questionable, just look at May-June '14 - it can go low and stay there for a big amount of time.
Since it just displays the IV of SPX options, I wouldn't use the traditional horizontal lines with specific numbers. I would use LRCs with different SDs
P.S.
God I'm thankful for buying some puts yesterday...this week is going to be the same...it's a disaster and then the Fed lifts the markets...
If Feb/March VIX futures will be in backwardation on Wednesday, volatility will fall on Thursday. 81% chance. Just saying.
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