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Ron:
My knowledge leaves a lot to be desired in this arena. From what
you have written am I correct to infer that because your 20-day
coorelation study is currently above .9 the VIX is indicating that
the next directional move will be to the downside--at least for the
short term?
Charles
-----Original Message-----
From: Ronald McEwan <rmac@xxxxxxxx>
To: realtraders@xxxxxxxxxxxx <realtraders@xxxxxxxxxxxx>
Cc: RealTraders-Request@xxxxxxxxxxxxx <RealTraders-Request@xxxxxxxxxxxxx>
Date: Saturday, July 17, 1999 11:20 PM
Subject: Gen: To Vix or not to Vix
>The VIX (like many other indicators) seems to be very good at telling us
>what is going on in the markets, and at other times it seems to be a bit
>off base. I wanted to find out if this could be measured. This is what I
>came up. I ran a 20 day correlation on the OEX versus the VIX and the
>number was consistently above .5 (over the last two years of data it is
>over .8), however there were times when it dropped below .5 (possibly
>indicating the so called "unlinking" effect). In the attached chart I
>plotted the VIX as an inverted number divided by 10 (for visual and
>scaling purposes). I added a plot of the continuous 20 day correlation.
>The recent 20 day correlation figure is above .9, so it is really worth
>paying attention to the VIX now.
>
>Ron McEwan
>
>
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