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I use VIX for swing trading the SP and don't recall instances of divergence--it
seems very efficient and responsive to moves in the underlying. I use 15% bands
on the 20 day exp. moving average as well as "absolute" bands of 20 and 30 to
indicate extremes. You lmight check out tradehard.com and decisionpoint.com for
further info. Larry Connors writes extensively on the former and in his books
on trading VIX. in some of his mehtods he looks for intra-day reversals in VIX
as a preview of the next days action.
David Bond wrote:
>
> I was wondering if anyone has found that the opposite of the above is
> true -- that the vix will actually diverge from price and "lead the market"
> (that is, on an intraday basis). My limited observation has shown this to
> be true to some degree. Comments?
>
> Dave
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