Thursday, September 18, 2008
the first VIX study, circa 2003 :)
I found it, buried on an old page with wierd links etc...I've learned a bit more about web navigation since then, thank goodness!
It's at the bottom of the page, but here is the chart, from the last days at stockcharts.com, along with the words I wrote at the time. The result was, in fact, a channel with a subsequent upside breakout. Will past be prologue?
This SPX/VIX study came about because VIX wasn't on its own consistent enough to follow the 'VIX is low, time to go; VIX is high, time to buy' thing. I noticed a few things:
(1)The ratio SPX price relative to VIX channels (lowest pane)
(2)Significant channel shifts happen when price is trending up or down
(3)SPX/VIX reversals are good swing indicators, regardless of channel position
(4)'Significant' tops & bottoms are accompanied by channel shifts.
(5)The direction of the 34d, 60d MA (Bollinger Band basis) needs to shift as well to make the SPX/VIX reversals significant
6/6/2003: SPX/VIX finally got out of the gutter channel and into the center turn lane. It hit the upper channel line & is reversing, perhaps a bit like Oct02 with the perhaps significant difference that the 34d MA is turning up and price tested and moved back up off the 60d MA.
I'd look for a strong move out of the center lane to confirm more up. Otherwise, it may repeat the Apr-Dec98 center channeling, which could bode well for a trading range.If this pull back drags it back in the gutter, well, bummer! just another bear rally.
Labels: chart-analysis, market-calls-dated, sentiment
At last, over the rim
of the waiting earth
the moon lifted with
slow majesty
till it swung clear of the horizon and rode off,
free of moorings
- Kenneth Grahame,
The Wind in the Willows
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