VIX Concerns and Accumulation/Distribution Correlations

[ilonaross]

http://www.zerohedge.com/news/2012-1...hing-red-alarm

Could this have any relevance?

[Billy]

http://www.zerohedge.com/news/2012-1...hing-red-alarm

Could this have any relevance?

Ilona,
Thank you but this has no direct relevance with VIX or institutional activity.
Billy

[pete]

Pete,
You are right. I should have checked back the VIX calculation before writing the obviously wrong “VIX only tracks put options volatility”.
What I really had in mind was the usual interpretation of spikes in the VIX as being reflective of hedging of long positions in reaction to fear of a falling market by investors. Fear is pure emotion and then, yes it would be rational to interpret the VIX spikes as potential market bottoms. But such a widespread interpretation can prove totally wrong if under the hood the VIX spike is due to hedging of net short positions with calls. The “fear” would then lead to emotionally protecting from a rally and It could rationally mark a temporary top in a downtrend.
So, the current apathy in the VIX can mean an emotionally balanced market with as much fear of missing a new rally as of missing a new down leg. After all, isn’t Mr.Market the champion for fooling the most people most of the time?
Billy

Billy,

looking around a little regarding volatility behaviour:

On a shortterm view i found larry connors vix 5% rule compared to the 10d SMA of VIX in his 2009 book.
If below 5% of the SMA, sell the S&P, good for 5 days and vice versa.

What i found pretty interesting was the behaviour in the period August-September 2011 in the Gold volatility GVZ, similar calculated to the VIX:
http://stockcharts.com/h-sc/ui?s=GLD...d=p32628808138

just a little food for thought

[Billy]

Billy,

looking around a little regarding volatility behaviour:

On a shortterm view i found larry connors vix 5% rule compared to the 10d SMA of VIX in his 2009 book.
If below 5% of the SMA, sell the S&P, good for 5 days and vice versa.

What i found pretty interesting was the behaviour in the period August-September 2011 in the Gold volatility GVZ, similar calculated to the VIX:
http://stockcharts.com/h-sc/ui?s=GLD...d=p32628808138

just a little food for thought

Pete,
Very interesting indeed. Your GVZ link seems to illustrate one of these cases of a “capitulation”” volatility spike at a top instead of at a bottom.
Billy