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Post by jeffolie on Oct 1, 2012 17:42:57 GMT -6
VIX a good stock indicator? Signal Risk-Off, lull before storm? The VIX or volatility Index looks calm and low indicating an orderly market Signal Risk-Off without significant moves other than the existing trend. The existing trend is mildly, gradually higher over the last 2 months during the DEAD ZONE as I predicted resulting in a low VIX. The trend is your friend. Sometimes a LOW VIX is a lull before a violent move: BEWARE A LOW VIX, the trend most likely will change: but the direction of the change is never certain.Stocks might melt up ... rally into January: seasonal trends from Oct 31 often are bullish from an Oct low creating the HALLOWEEN INDICATOR or "sell in May...and go away for 6 months" Institutions at times will sell the VIX or buy the VIX options to protect against big moves in either direction...a hedge instead of buying or selling the options of the stock indexes. ====================================== Stocks Hold Green Close As VIX/Credit/Rates Signal Risk-Off10/01/2012 From the knee-jerk spike after the ISM data, US equity markets sold off relatively calmly for the rest of the day. Headlines will crow of a gain to start the quarter and what that means empirically, the real stories are under the surface: AAPL dropped 3% from its early-day highs to end at one-month lows; VIX jumped 0.6 vols to 16.3%; HYG, the high-yield credit ETF, was weaker all day and dumped into the close on huge volume; Treasuries were bid into the close ending the day down 1-2bps; and FX carry slid all afternoon as the USD rallied from -0.4% to -0.1% at the close. Commodities were juiced by Evans' dovishness (and Iranian fears) but the spikes in Silver (and less so gold) were retraced - though they all ended outperforming USD's implied strength. Tech and Discretionary underperformed as Staples and Healthcare were the winners. Not exactly the herd of performance-chasing monkeys everyone expected eh? S&P 500 futures jumped on the open, then again on the ISM pront and rolled over, accelerationg after Europe closed... found support at the unch line (on Spain rumors) but ended weak and notably south of VWAP... www.zerohedge.com/sites/default/files/images/user3303/imageroot/2012/09-2/20121001_EOD5.png Stocks fell back to reflect VIX's less excited view of the world... www.zerohedge.com/sites/default/files/images/user3303/imageroot/2012/09-2/20121001_EOD6.pngCommodities (especially PMs) jumped early on ultra-dovish comments from Evans among other things... www.zerohedge.com/sites/default/files/images/user3303/imageroot/2012/09-2/20121001_EOD1_1.png Risk assets in general were in risk-off mode - both our ETF model (left) and broad risk-asset proxy (CONTEXT - right) were considerably less sanguine than stocks all day and sure enough equities converged back lower to end the day... www.zerohedge.com/sites/default/files/images/user3303/imageroot/2012/09-2/20121001_EOD2_1.png High yield credit ETF HYG dropped all day - as it has been diverging from stocks since QEternity hit. The flush into the close was on considerable volume too as it snapped back down to its NAV (lower pane)... www.zerohedge.com/sites/default/files/images/user3303/imageroot/2012/09-2/20121001_EOD3_1.png and a longer-term basis - we've seen this pattern before in high-yield credit nervousness ahead of stocks...(which notably began last time at the end of LTRO) www.zerohedge.com/sites/default/files/images/user3303/imageroot/2012/09-2/20121001_EOD7.pngCharts: Bloomberg and Capital Context Bonus Chart: AAPL's intraday slide was notable...down around 3% from its early highs... notice the VWAP orders after the close (i.e. sell orders) www.zerohedge.com/sites/default/files/images/user3303/imageroot/2012/09-2/20121001_EOD4.png
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Post by jeffolie on Oct 17, 2012 15:00:40 GMT -6
The Volatility Index chart update. The theory is that big moves happen after calm periods. I correctly predicted a calm period that I called the "DEAD ZONE" for August and Sept with the exception of Sept 12th [this was also correct ... FED announce QE3, EU announce another bailout]. www.ritholtz.com/blog/wp-content/uploads/2012/10/vix-half.jpg
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Post by jeffolie on Oct 18, 2012 12:40:16 GMT -6
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Post by jeffolie on Dec 11, 2012 13:15:09 GMT -6
headed toward a level of complacency indicating a short term top areamy jeffolie view: the stock market has followed the often followed seasonal rise in Nov and Dec as I mentioned before ... because the politics from the fiscal cliff created a 'wall of worry' to climb, the markets are climbing ... the VIX and other such indicators are headed toward a level of complacency indicating a short term top area; caveat-I rarely if ever trade, The larger seasonal tradition of "sell in May" most likely will work in 2013; I prefer to be a trend follower. =============================== panzner.typepad.com/.a/6a00d83451591e69e2017ee60e53a1970d-piDecember 08, 2012 From Panzner Insights: Complacency Everywhere You Look Here is a brief commentary from Panzner Insights, which I posted on Thursday: When trying to get a handle on investor sentiment, the benchmark of choice for many market-watchers is the CBOE S&P 500 Volatility Index, or VIX. However, this popular “fear gauge” only offers a snapshot of implied volatility, or relative pricing levels, for equity index options, which might not necessarily tell us all we need to know about the mood on The Street. In theory, stock traders could be overreacting to equity-specific developments that are not relevant to other markets. That said, there is data that suggests the high levels of complacency in the stock market are also being seen elsewhere. As the chart shows, gauges of implied volatility levels for equity, bond, currency, gold, and oil markets are at or near multi-month lows, suggesting that “the crowd” is unanimous in its belief that nothing untoward is going to happen in the immediate future. Should we be worried? www.financialarmageddon.com/
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Post by jeffolie on Jan 9, 2013 16:42:21 GMT -6
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Post by jeffolie on Jan 9, 2013 17:09:25 GMT -6
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Post by jeffolie on Jan 12, 2013 12:19:31 GMT -6
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Post by jeffolie on Jan 13, 2013 13:34:23 GMT -6
www.zerohedge.com/sites/default/files/images/user5/imageroot/2013/01/Vix%201.jpgVIXtermination: Vol Banged To Lowest Close Since June 2007 01/11/2013 Instead of a full recap of the market today, which did nothing all day on the lowest NYSE volume day of the year, we will present just one chart to show how it is that once again the market got its nearly miraculous green close and last hour ramp to avoid a red close for the day, and possibly week. The chart is, as has been so very often the case recently, that of the spot VIX, where the now usual gimmick of dumping oodles of VIX futures served to do one thing only: bang the close (a technical term, one which used to be illegal) so hard that the market's algos took the reflexivity signal implied by the evaporation in volatility as an all clear signal and bought risk in what is becoming an expected daily occurrence. And while the spot slid to close at 13.36, the lowest closing print since June 19, 2007, it was the dump in the last 25 seconds of trading that just had to be seen to be believed. Luckily, it can be seen below on the Bloomberg QR page showing it taking a step move lower from 13.38 to 13.22 at 15:59:35, before "recovering" to 13.38 just after the close. VIXtermination full frontal: www.zerohedge.com/sites/default/files/images/user5/imageroot/2013/01/Vix%201.jpgAnd the promised QR screen. www.zerohedge.com/sites/default/files/images/user5/imageroot/2013/01/Vix%202.jpgwww.zerohedge.com/news/2013-01-11/vixtermination-vol-banged-lowest-close-june-2007
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Post by jeffolie on Jan 13, 2013 14:08:53 GMT -6
What has changed?VIX a good stock indicator? Signal Risk-Off? Algos, hft now dominate trading including VIX ... so has this change invalidated using the ro-ro and VIX long term charts for expecting history to repeat ... IMHO the answer is yes the change is significant making the VIX and ro ro charts less valuable as technical predictors ... almost all technical predictors lose their predictive value at some time and fail to provide useful signals. Using a variety of signals, predictors improves one's ability to predict markets rather than relying on 1 to 3 predictive signals. A record low on a little known long term risk on risk off (ro-ro) index Bart's Greed Fear index. Note the upward biased H&S too - left shoulder in 2009. www.nowandfutures.com/images/fear_calm.pngwww.nowandfutures.com/download/d4/rai_monthly-risk-aversion.jpg
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Post by jeffolie on Jan 13, 2013 17:34:03 GMT -6
pragcap.com/wp-content/uploads/2013/01/aaii1.pngAAII: Small Investor Bullish Sentiment Surges 01/11/2013 Small investors are getting very bullish on the equity market again. The latest reading from AAII showed the highest level of small investor sentiment since December which was the highest sentiment reading since early 2012. As you can see in the chart below, this puts us above the “extreme bullishness” range that has typically been consistent with a risk equity market environment. AAII has more details here: Optimism rebounded strongly, as pessimism dropped in the latest AAII Sentiment Survey. Bullish sentiment, expectations that stock prices will rise over the next six months, jumped 7.7 percentage points to 46.4%. This matches the short-term high set on December 20, 2012. Bullish sentiment is also above its historical average of 39% for the sixth time in seven weeks. Neutral sentiment, expectations that stock prices will stay essentially unchanged over the next six months, increased 1.5 percentage points to 26.6%. Even with the improvement, neutral sentiment is below its historical average of 30.5% for the 13th consecutive week. Bearish sentiment, expectations that stock prices will fall over the next six months, fell 9.3 percentage points to 26.9%. Though the magnitude of the increase is steep, it only puts pessimism at a three-week low. Bearish sentiment is also below its historical average of 30.5% for the fourth time in five weeks. At current levels, both bullish and bearish sentiment are within their typical historical ranges. The resolution to the tax policy portion of the fiscal cliff has removed some of the uncertainty that individual investors were facing. Higher stock prices, monetary stimulus, continued economic growth, seasonality and a lack of negative headlines are also playing a role. This week’s AAII Sentiment Survey results: · Bullish: 46.4%, up 7.7 percentage points · Neutral: 26.6%, up 1.5 percentage points · Bearish: 26.9%, down 9.3 percentage points Historical averages: · Bullish: 39.0% · Neutral: 30.5% · Bearish: 30.5% Chart via Orcam Investment Research: pragcap.com/aaii-small-investor-bullish-sentiment-surges
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Post by jeffolie on Jan 17, 2013 18:05:54 GMT -6
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Post by jeffolie on Jan 18, 2013 17:15:41 GMT -6
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Post by jeffolie on Jan 24, 2013 18:21:53 GMT -6
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Post by jeffolie on Feb 12, 2013 11:09:44 GMT -6
The Volatility Index is closing out February with a Whimper 02/12/2013 By EconMatters Volatility Smack down The VIX futures contract ends trading today, and the March VIX futures contract takes over. The first two months of the year have seen volatility crushed downward in this two month bullish rally in assets as new money came rushing into markets needing to get off to a positive start for the year. $13.45 Support area on Monday On Monday the VIX futures got pushed down to $13.45 on several occasions on the S&P 500 attempts to rally the markets, the lowest level by far since before the financial crisis. There have already been several highly publicized bets placed for March and April VIX contracts to spike via the options market with some bull call spreads. More Volatility for March 1.bp.blogspot.com/-NuALbSOCgwU/URn_-CcnFnI/AAAAAAAACEk/suvS0snV8Mk/s1600/vix+5+year.png I do expect more volatility in the VIX futures as we move further away without a correction, but the overall trend in the VIX has been declining for several years in between the spikes, expect more of the same. The Goal is to make the money before May4.bp.blogspot.com/-faN4xeeOQ9M/URn-uhKnqeI/AAAAAAAACEY/zq2HkPwVmy0/s1600/vix+sap+comparison+3+years.png Remember asset managers are going to push assets hard through April options expiration if recent history is our insight into market behavior. Unless there is a major Risk Off geopolitical event, major Washington event, i.e., they stand and actually fight on an issue that stalls the government and risk a downgrade, or a HFT inspired Market glitch then new money comes in every month to markets and the bulls will extend this rally as far as they can before the annual summer selloff. S&P 500 New Highs before May? 2.bp.blogspot.com/-Zxu5y9_RWrs/URn-jMCoiAI/AAAAAAAACEQ/flhRzhuk0aM/s1600/4+months+vix+comparison.png The bulls will probably try to set a new high for the S&P 500 before the selloff, so expect the VIX to get hammered a lot as the S&P 500 rises to new highs. VIX Bottoms not Holding 3.bp.blogspot.com/-Cb0pItGklA4/URn-XJWFlHI/AAAAAAAACEI/5ZOv30Fslng/s1600/the+vix+1+year.png For a while $13.75 was a decent support level, then the $13.65 level provided solid support, and yesterday we busted through that to the $13.45 level, which held several attempts to break it. I am sure that today that level will be banged several times if equities attempt to establish new highs on Tuesday. Maybe $13.20 is in the cards for Tuesday if the S&P 500 can establish a new 2013 high. We have come a long way baby: $13, 12, 11…? 4.bp.blogspot.com/-i7bvfXFsiM8/URn-NfxcjQI/AAAAAAAACEA/4OdWbd1dYPQ/s1600/the+vix+long+term.png But longer term I envision a breaking of the $13.00 barrier some time in 2013, as the long-term downtrend in volatility is hard to miss, and very reminiscent of the bullish period before the epic collapse in financial markets. www.zerohedge.com/contributed/2013-02-12/volatility-index-closing-out-february-whimper
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Post by jeffolie on Feb 15, 2013 18:12:50 GMT -6
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Post by jeffolie on Feb 16, 2013 11:20:00 GMT -6
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Post by jeffolie on Mar 8, 2013 16:02:12 GMT -6
3/08/2013 12.59
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Post by jeffolie on Mar 11, 2013 13:15:43 GMT -6
VIX under 12.00 ... warning if persists for a few daysmy jeffolie view: the stock market has started to begin its broad topping pattern which most likely will move up and down for months until A POLITIC EVENT TRIGGER changes FED policy and direction of the market ... I advocate 'trend following' including establishing a short the market position only when the trend changes from sideways, topping to downward. ================================= $VIX Volatility Index 11.74 -0.85 -6.75 2013-03-11, 15:11 ===================================== 11 March 2013 Gold Daily and Silver Weekly Charts - Complacency Trade Gold and silver held their price levels quite well despite the rally in stocks, which ordinarily would have spelled a selloff in the precious metals. VIX dropped to a six year low. Let's see how the Merry Pranksters trade the rest of this week. We may be near a turning point, at least in the short term www.jessescrossroadscafe.blogspot.com/4.bp.blogspot.com/-VKe_fnUgiE4/UT44-OwQNNI/AAAAAAAAnMA/cYsSQp1UX1M/s1600/vix.png======================================= www.zerohedge.com/sites/default/files/images/user5/imageroot/2013/03/VIX%20Splat_1.jpgBehold The VIX Splattergram 03/11/2013 Presenting the VIX. Or rather, highlighting the grotesque and blatant last second "banging the close" of the VIX. Thank you Simon Potter and your protege, Kevin Henry, for providing countless hours of sideline entertainment, and lamentation for what was once a stock market. www.zerohedge.com/news/2013-03-11/behold-vix-splattergram
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Post by jeffolie on Mar 13, 2013 16:42:42 GMT -6
VIX under 12.00 ... warning if persists for a few daysmy jeffolie view: the stock market has started to begin its broad topping pattern which most likely will move up and down for months until A POLITIC EVENT TRIGGER changes FED policy and direction of the market ... I advocate 'trend following' including establishing a short the market position only when the trend changes from sideways, topping to downward. VIX under 12.00 ... warning if persists for a few days3.bp.blogspot.com/-HGlukz5zIGM/UUDdES-A6SI/AAAAAAAAnRg/qTW76Arhjn8/s1600/vix.png
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Post by jeffolie on Mar 14, 2013 22:29:12 GMT -6
3/14/2013 Volatility Index 11.30
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Post by jeffolie on Mar 16, 2013 13:54:31 GMT -6
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Post by jeffolie on Jul 19, 2013 15:36:21 GMT -6
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Post by jeffolie on Jul 22, 2013 16:55:56 GMT -6
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Post by jeffolie on Aug 3, 2013 8:00:34 GMT -6
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Post by jeffolie on Aug 5, 2013 16:30:26 GMT -6
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Post by jeffolie on Aug 13, 2013 17:05:23 GMT -6
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Post by jeffolie on Aug 28, 2013 11:32:22 GMT -6
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Post by jeffolie on Sept 5, 2013 12:27:49 GMT -6
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Post by jeffolie on Sept 11, 2013 16:34:06 GMT -6
the VIX MOVED as the stock index moved ... the nanosecond fast algorithms responded with up to 20,000 feelers per second to find the real Bidders and asking traders ... humans can not compete as short term traders and can compete with intermediate term position investments onlyDo not mistake the VIX value as causing the stock indexes to move ... more likely nanosecond algos trade with other priorities such as political events, etc. my jeffolie view: tops feature VIX at low levels such as below 13.00 ... the nanosecond trading moves the VIX quickly requiring observing the VIX to catch the value that you want=================================== Today's WTF Moment 09/11/2013 Presented with little comment aside to ask just how levered the market is when a 'twitch' lower in VIX smashes the entire S&P 500 index up by 0.3% in 15 minutes... www.zerohedge.com/sites/default/files/images/user3303/imageroot/2013/08-2/20130911_EOD7.jpg now where have seen that before??? www.zerohedge.com/news/2013-09-11/todays-wtf-moment
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Post by jeffolie on Oct 8, 2013 15:23:08 GMT -6
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