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John
If you run any of the VIX systems that Connors created you will see
that there is a correlation of some sort. The CVR III triggered a
downward bias this indicates a lower move in the indexes. I like
combining this indicator with the other CVR'S to short term trading the
indices.
The bias for today is down in my book and I will look to trade more on
the short side of things today and if I get another CVR signal to the
down side I will go short on the close.
--- THE DOCTOR <droex@xxxxxxxxxxxx> wrote:
> John,
>
> 1. Vix never reached 172.79 in 1987. The highest
> simulated value was in
> the 150's ..... also the 1987 low was below the
> level on level on 07/17.
> Also each of those events, in hindsight, was a huge
> buying opportunity.
> The 60% level reached in 98 was the "Niederhoffer"
> morning and was an
> intraday number resulting from a number of issues
> ... one was the market
> close occurring the day before. 60% intraday was
> hit a couple of times in
> 1998. If you look at all the VIX data you discover
> that many large moves
> occur off of low volatility .... direction has been
> both up and down.
>
> Another concern I would have, especially using the
> simulated data from 87
> ... is that the order flow was not really robust
> enough to calculate a
> true VIX. If you could have actually sampled the
> data from the traded ATM
> you would have calculated a number closer to 300%.
> The problem with
> volatilities over say 85% to 100% is that they
> aren't real. The implied
> number can be calculated from the option prices, but
> vols. that high
> really tend to indicate more a market in distress or
> chaos rather than a
> real expectation of price distribution.
>
> However having said all of that ,,,, almost every
> time VIX has hit a low
> .....god bless hindsight .... straddle and combo
> purchases have been very
> very profitable very soon thereafter. The question
> is ... is the current
> level the low?
>
> John Cappello wrote:
>
> > To List:
> >
> > Someone I highly respect shared this information:
> >
> > "Today the VIX closed at 18.85. This is a low for
> the year and is very
> > near the 16.73 level reached 7/20/98 and the 16.25
> reach on 7/17/87.
> > By contrast the major lows in the market have been
> accompanied by
> > readings of 60.63 on 10/08/98 , 51.94 on 9/11/98 ,
> and 172.79 on
> > 10/20/87."
> >
> > Interesting to me and hopefully to you.
> >
> > John
>
>
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