Vxx

[manucastle]

Something is afoot with the the short term Volatility ETF VXX :-

http://www.effectivevolume.com/content.php?165-volatility-etf

Any ideas ?

Trev

[Pascal]

Something is afoot with the the short term Volatility ETF VXX :-

http://www.effectivevolume.com/content.php?165-volatility-etf

Any ideas ?

Trev

Good find Trev! I have been unable to really trade the VIX, but I have read that some on this board trade the triple leveraged VIX. I have always thought that VIX is better traded on the short side after a bounce.

Maybe also something to put in the context of money moving back into T-bonds?


Pascal

12742

[Billy]

From Rennie Yang at Markettells.com:

When the VIX rallies on a day the S&P closes higher, it can be an early warning sign. When it happens again the next day (as occurred Thursday), it’s a short-term sell, targeting an SPX close below the setup day within the next two sessions. This signal has proved correct in 26 out of the last 30 occurrences, or 87% of the time, a significant edge over the 60% random chance. Even when wrong, the S&P was only fractionally higher two sessions later, with the best gain 0.6%…

VIX & SPX Close Higher Two Consecutive Sessions
02/09/12… SPX ???
12/06/11… SPX -1.9% two sessions later
12/21/10… SPX +0.2% two sessions later
10/26/10… SPX -0.3% one session later
04/23/10… SPX -0.4% one session later
03/10/10… SPX +0.4% two sessions later
05/19/08… SPX -0.9% one session later
12/26/07… SPX -1.4% one session later
04/18/07… SPX -0.1% one session later
03/26/07… SPX -0.6% one session later
09/28/06… SPX -0.3% one session later
09/18/06… SPX -0.2% one session later
04/27/06… SPX -0.4% two sessions later
03/16/06… SPX -0.0% two sessions later
11/26/04… SPX -0.3% one session later
02/03/04… SPX -0.8% one session later
12/31/03… SPX -0.3% one session later
09/02/03… SPX +0.6% two sessions later
05/28/03… SPX -0.4% one session later
11/05/02… SPX -1.4% two sessions later
07/31/02… SPX -3.0% one session later
03/24/00… SPX -0.2% one session later
12/30/99… SPX -0.6% two sessions later
09/29/98… SPX -3.1% one session later
09/04/97… SPX -0.2% one session later
06/16/97… SPX -0.5% two sessions later
03/17/97… SPX -0.8% one session later
11/20/96… SPX -0.2% one session later
10/01/96… SPX +0.5% two sessions later
09/04/96… SPX -0.9% one session later

SPY volume increased for the third consecutive session Thursday as the market traded higher, usually a good sign of limited downside potential over the next few sessions. Since 1997, we’ve seen SPY post three higher highs on steadily increasing volume a total of 26 separate times, with only one case leading to a 1%+ drop over the next three sessions…

SPY Three Higher Highs on Increasing Volume
02/09/12… SPY ??? three sessions later
07/22/10… SPY +1.9% three sessions later
02/19/10… SPY -0.3% three sessions later
09/17/09… SPY -0.1% three sessions later
08/06/09… SPY -0.2% three sessions later
04/02/09… SPY -2.1% three sessions later (*)
12/30/08… SPY +4.4% three sessions later
04/11/07… SPY +1.9% three sessions later
11/09/06… SPY +1.0% three sessions later
08/16/06… SPY +0.3% three sessions later
04/18/06… SPY +0.3% three sessions later
12/16/04… SPY -0.4% three sessions later
01/09/04… SPY +1.0% three sessions later
11/14/03… SPY -0.7% three sessions later
10/15/03… SPY +0.1% three sessions later
09/02/03… SPY +0.0% three sessions later
07/09/03… SPY +0.2% three sessions later
12/29/00… SPY +1.8% three sessions later
06/01/00… SPY +0.8% three sessions later
06/30/99… SPY +1.7% three sessions later
11/23/98… SPY +0.1% three sessions later
11/17/98… SPY +2.3% three sessions later
03/23/98… SPY +0.4% three sessions later
02/06/98… SPY +0.5% three sessions later
12/31/97… SPY -0.9% three sessions later
06/09/97… SPY +2.5% three sessions later
04/30/97… SPY +4.1% three sessions later

[grems8544]

An interesting discussion, as I've been watching the VIX and its variants for a few days.

Somewhat striking here is that there is virtually no overhead 2nd resistance cluster within 2*ATR(20) of the closing values -- note the "0" in the R2... column below:

12751

Also note that in terms of pivot points, the monthly pivot (mPP) is the first target for overhead resistance from the present numbers. There is no ambiguity to this fact, which is somewhat unique in my studies of the pivot methods of Billy et al.

Next, note the distance from present values to the first resistance points -- they range from 6.0% (VIXM) all the way to 32.4% (TVIX). This suggests a considerable distance to resistance, which is good if you are long these instruments.

Finally, with respect to the table above, note that the primary support for all of these equities or indexes is the monthly S1 (mS1), or in the case of VXX, the quarterly S1, which dominates the mPP. Note that VXX is NOT the VIX, so the two, while moving in a highly correlated fashion, vary in their correlations from 0.95 to 0.99 depending on whether you are looking at intraday, daily, or weekly values. Don't expect VXX to move lock-step with the VIX.

=============

The question of whether this is a head fake or the real deal at a turning point in this cycle is one I'm trying to get my hands around. Look at the following chart (right-click on the chart to open in a new tab or window):

12752

This is chart of the TVIX. The top trace is based on 39-min bars, and you see a ribbon of moving averages that have a downward slope. I picked the time frame of 12/8 to present for a reason -- we had the TVIX moving above the averages around the 12/8 time frame, but several failed attempts at breakouts since then have resulted (as you can see.

The middle trace is my SLOPE of the moving averages that you see above. These are calculated on DAILY closing values, not the 39 min bar values.

The bottom trace is my SLOPE OF THE SLOPE of the moving averages from the top trace. Again, daily closing values.

Start with the bottom trace. THE SLOPE OF THE SLOPE (SoS) LEADS the slope and generally price action either up or down. When the SoS moves above 0, any negative slopes will start to move more positive. We can see that this occurred on this chart around 12/22, which we all know coincided with the GGT system indicating a new long entry was in store. You can see in the cart above that the SoS kept bouncing around for TVIX, making lower highs (bearish for TVIX, bullish for the market), and by 12/29 the slopes failed to rally, hence TVIX continued lower (markets continued higher).

The period around 1/11 saw the same action. SoS started to move higher, but by 1/17 SoS moved negative, and the TVIX slopes failed again, which was bullish for the markets but bearish for TVIX.

"This time it's different". I hate to write that, but it's a distinct possibility. Starting around 2/6 the SoS moved positive, and this caused the downward TVIX slopes to reverse, also now resulting in the shorter ones being positive. This is BULLISH FOR TVIX, and bearish for the markets.

Let's zoom in on the latest action:

12753

Note that TVIX has been holding a floor in value through 2/7, and on 2/8 started to move upward. Note that the SoS was already VERY positive (perhaps too much so), and now the slopes are off the to races. Only the shorter slopes are positive at this point, so we are early, but we are solid in the upward movement.

Also note that TVIX closed above the ribbon of MAs, which it has not done since before 12/8. This is bullish for TVIX, bearish for the markets, and it will be an interesting exercise to see how this unfolds.

Regards,

pgd

[lisa]

martin chenard from stocktiming.com has been pointing out the descending wedge forming on the vix from about the middle of august to the present. from his site: "As we have been pointing out, it has a descending wedge pattern that historically has a 10% failure rate for not breaking out to the upside (which would be negative for the market)."

i'd post a chart, but i seem to be too much of a maroon to figure out how to insert an image.

lisa

[nickola.pazderic]

12763

The future price of USA stocks is up.

I'm also long TVIX nicely.