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<DIV><FONT size=2>
<DIV><FONT size=2>Email or telephone the cboe and request #3 Options in the
Risk Management series that pertain to VIX calculations and use.
</FONT></DIV>
<DIV> </DIV>
<DIV><FONT size=2>Also Larry Connors has done more work and published more
systems with VIX than anyone I am aware of. See <A
href="http://www.tradehard.com";>http://www.tradehard.com</A> for further
information. In particular he has five VIX Reversal systems, CVR1 through
CVRV. He uses it in a few other ways such as close to close change or open
to close change for an indication of the next day's open. See his books
"Advanced Trading Strategies" and Street Smarts". He has also published
some monographs on the "Best of PTJ" that include the VIX systems. PTJ is
the "Professional Taders Journal".</FONT></DIV>
<DIV> </DIV>
<DIV><FONT size=2>See the TASC article back in April 1995 by John
Karczewski titled, "Modifying The Volatility Index". </FONT></DIV>
<DIV> </DIV>
<DIV><FONT size=2>See the CBOE test on Options.</FONT></DIV>
<DIV> </DIV>
<DIV><FONT size=2>See if Ron McEwan's Excel spreadsheet is still available on
the RealTraders Secrets page.</FONT></DIV>
<DIV> </DIV>
<DIV><FONT size=2>If Mark Brown is listening, he probably has more than one
piece of code using VIX as years ago he sent me something.</FONT></DIV>
<DIV> </DIV>
<DIV><FONT size=2>David Stendahl has a few systems using VIX. May 1994 of
TASC has an article on "Volatility Index".</FONT></DIV>
<DIV> </DIV>
<DIV><FONT size=2>If you can access the Omega Archives then search on Vix and
volatility index.</FONT></DIV>
<DIV> </DIV>
<DIV><FONT size=2>On the current status of VIX, as Clyde said, it is no slam
dunk. VIX can drop during quiet periods when options activity drops and
thus may be misinterpreted when all the participants are not at the party.
Its been quite awhile since VIX has been below 20. Some might interpret
that as a bullish situation rather than an immediate time to sell expecting a
reversal. Infact it might not rise back to the mid twenties until after
the beginning of the year during the first real post year end rally fizzle, i.e.
when the bubbly is exhausted after New Years.</FONT></DIV>
<DIV> </DIV>
<DIV><FONT size=2>On "oversold Trin"....some would argue that it is overbought
and the Favors 5 day trin is extremely overbought. See the CODI, change of
direction indicator attached for OEX with NYSE Trin and NDX with Nasdaq
trin. In a strong uptrend like we have had, such indicators cycle between
the whipsaw zone and overbought. Both are overbought, but that does not
imply an immediate reversal, although lots of us pesimists keep expecting it
since Puts pay off in sharp drops to oversold....much better than a Call on a
slow ramp up.</FONT></DIV>
<DIV> </DIV>
<DIV><FONT size=2>That should get you started.</FONT></DIV>
<DIV><FONT size=2>BobR</FONT></DIV>
<DIV> </DIV>
<BLOCKQUOTE
style="BORDER-LEFT: #000000 2px solid; MARGIN-LEFT: 5px; MARGIN-RIGHT: 0px; PADDING-LEFT: 5px; PADDING-RIGHT: 0px">
<DIV style="FONT: 10pt arial">----- Original Message ----- </DIV>
<DIV
style="BACKGROUND: #e4e4e4; FONT: 10pt arial; font-color: black"><B>From:</B>
<A href="mailto:mpspencer@xxxxxxxxxxxxxx";
title=mpspencer@xxxxxxxxxxxxxx>mpspencer@xxxxxxxxxxxxxx</A> </DIV>
<DIV style="FONT: 10pt arial"><B>To:</B> <A
href="mailto:realtraders@xxxxxxxxxxxxxxx";
title=realtraders@xxxxxxxxxxxxxxx>realtraders@xxxxxxxxxxxxxxx</A> </DIV>
<DIV style="FONT: 10pt arial"><B>Sent:</B> Sunday, November 21, 1999 6:05
PM</DIV>
<DIV style="FONT: 10pt arial"><B>Subject:</B> [realtraders] Gen: VIX
{01}</DIV>
<DIV><BR></DIV>
<DIV>
<DIV><FONT color=#000000 size=2>RT,</FONT></DIV>
<DIV><FONT color=#000000 size=2></FONT> </DIV>
<DIV><FONT color=#000000 size=2>Regarding all of the recent discussion on
S&P and VIX, can anyone direct me to a site(s) where I can get more info
on the VIX. My current frame of reference is <A
href="http://www.decisionpoint.com";>www.decisionpoint.com</A> (they have a
significant collection of overall market indicator's); however, their
interpretation of VIX is that of a channel based indicator, which I'm just not
seeing. Seems like the consensus here is that once VIX falls below about
.20 we're due for a correction (not that it has violated some kind of channel)
I can't find any VIX info on the CBOE site, strange as it seems, but maybe I'm
just not looking hard enough. Any pointers?</FONT></DIV>
<DIV><FONT color=#000000 size=2></FONT> </DIV>
<DIV><FONT color=#000000 size=2>Anyone have any comments on the apparently
extremely oversold nature of TRIN?</FONT></DIV>
<DIV><FONT color=#000000 size=2></FONT> </DIV>
<DIV><FONT color=#000000 size=2></FONT> </DIV>
<DIV><FONT color=#000000 size=2>Best regards,</FONT></DIV>
<DIV><FONT color=#000000 size=2>Michael
Spencer</FONT></DIV></DIV></BLOCKQUOTE></FONT></DIV></BODY></HTML>
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