20% VIX Stretch Provides Upside Edge

Cobra

One index that saw a big spike Tuesday was the VIX, which rose almost 23% on the day. It closed more than 20% above its’ 10-day moving average – the first time that has happened since November 20th. Stretches this extreme in the VIX have provided a bullish historical edge over the next few days in the S&P. Below is a study exemplifying this:



Peak stats here are at 4 days. Beyond the 1st week there is no significant edge. 89% of instances saw the market close higher than the trigger price within the next 4 days. The one recent failure was early October 2008. Prior to that you’d need to go all the way back to 1998 to find another failure.

ppteam

太好了,正好加空.

olderfrog

safa, 原创？

TrueContrarian

 be careful of being burned.

 

 

原帖由 ppteam 于 2009-1-21 12:00 发表 太好了,正好加空.

Jiejie

licai5688

:(130):

oldfat

like2swing

Maxie

icc

天真的冷酷

耐心的等

darth

Fan8an

thanks

QSCNC

Amy999

ppteam

原帖由 TrueContrarian 于 2009-1-21 12:01 PM 发表  be careful of being burned.    

开指数空.

demand

Kami

chuaner

today it is downed almost 20%, could you please study for that also?

Cobra

原帖由 chuaner 于 2009-1-21 16:58 发表 today it is downed almost 20%, could you please study for that also?

VIX相对于其MA10的20%以上或者以下才有意义。看清楚原文：“ It closed more than 20% above its’ 10-day moving average ”