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The only major thing I can think of that has changed the market in 2002 is
the introduction of single stock futures. But I have no idea how they
changed things or if they are completely irrelavent. I think the CBOE might
have caught on to the VIX not doing so well and created a new VIX based on
S&P 500 instead of S&P 100.
-----Original Message-----
From: MT [mailto:mtzianos@xxxxxxxxx]
Sent: Saturday, January 03, 2004 5:06 PM
To: omega-list@xxxxxxxxxx
Subject: Sentiment indicators no longer working?
Has anyone done any research on the changes of VIX and p/c in the
last 2 years? They are definately behaving differently than they did for
over a decade...
This can be demonstrated with a mechanical strategy, backtested
since 1989, of a swing system (trades about 50-60 times/year) using
p/c and VIX (now VXO). It has stopped working since 2002.
Stats (1989-2002)
#Buy Put/Call Trades 290
#Buy VIX Trades 221
#Sell Put/Call Trades 42
# Sell VIX Trades 148
# Combined Trades 616
Total Pts. Profit Combined System 3347.58
# Losers Combined 242
# Winners Combined 374.00
Total Pts. Losers -4540
Total Pts. Winners 7887
Average Loss Pts. -18.76
Average Winner Pts. 21.09
% Winning Trades 60.71
Net SP500 Points/Year
95 96 97 98 99 2000 2001 2002
106.074 62.568 402.472 534.382 813.28 815.246 181.512 -12.912
PS: The SFO mag has some articles, has anyone looked at those?:
<http://www.sfomag.com/issuedetail.asp?MonthNameID=January&YearID=2004>
"HELP! The Volitility Indicators No Longer Work!
Is the VIX still holding its ground? Put/call and volume ratios can be
viable tools for options traders as well."
"Options-Based Sentiment Indicators: Directional Clues for Equities
Based off the VIX and Put/Call Ratio
Analyze these sentiment-based indicators to see what they may be saying
about future moves."
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