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<DIV><FONT size=2>Had to send the CODIndx separately as RT list rejected email
when both were sent attached to the same email.</FONT></DIV>
<DIV><FONT size=2>BR</FONT></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:bobrabcd@xxxxxxxxxxxxx"; title=bobrabcd@xxxxxxxxxxxxx>ROBERT
ROESKE</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> Monday, November 22, 1999 4:22
AM</DIV>
<DIV style="FONT: 10pt arial"><B>Subject:</B> [realtraders] Gen: VIX
{02}</DIV>
<DIV><BR></DIV>
<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></BLOCKQUOTE></BODY></HTML>
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