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On May 23, 7:48am, THE DOCTOR wrote:
> Subject: RE: MKT VIX LEVELS
> This week's Barrons has an article on VIX levels and what they may mean to
> the market. When you get a chance go to "THE STRIKING PRICE" column.
> You can read it online at www.interactive.wsj.com and I think there first
> couple of weeks are still free or obviously you can just get Barrons on the
> newsstand. The fellow quoted "Leon Gross" at SalomonSmithBarney is
> probably the sharpest derivative analyst around. I steal from Leon every
> chance I get.
Leon points out that some major tops in the market have been made
recently when VIX dropped below 19. Since VIX tends to do drop
as the market is climbing (maybe due to less premium pressure
caused by buying puts), and 19-ish has been the low point, that's
not too surprising.
However, I think artificially deciding on a level of VIX for buy/sell
doesn't work well. VIX traded down below 10 in late '94, early '95.
Here's a recent chart, courtesy Yahoo! that shows VIX over the past
year, vs. the S&P 500:
http://quote.yahoo.com/q?s=^VIX&d=1ys
and the past 5 years:
http://quote.yahoo.com/q?s=^VIX&d=5ys
--
| Gary Funck, Intrepid Technology, gary@xxxxxxxxxxxx, (650) 964-8135
|