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Gitanshu:
My congratulations and admiration for putting together what appears
to be a logical and useful tool on three of the Connors VIX Indicators.
It always troubled me that he used three different indicators--each
with different parameters--to measure implied volatility. Having said
that I must be, again, missing something here. If you look at each
number on the chart you posted I get the impression that we will get
at least some kind of a bounce tomorrow. Agree, it might only last
one day, (occasion #7) BUT all other turning point numbers suggest
higher markets; looking at your own chart. Hate to sound like
'Lt. Columbo' here but just wanted to ask you that question?
Charles
-----Original Message-----
From: Gitanshu Buch <OnWingsOfEagles@xxxxxxxxxxxxx>
To: realtraders@xxxxxxxxxxxxxxx <realtraders@xxxxxxxxxxxxxxx>
Date: Monday, May 15, 2000 6:15 PM
Subject: [RT] RE: sp500/nd
>>it shows that our upside potential us limited to 25-30 SP points
>
>Here is something else that adds the above expectation to tomorrow's OEX
>action:
>
>Connors Vix reversals signals are well publicized, both at his website and
>in his books.
>
>Every once in a while, 2 or more of these signals line up simultaneously.
>
>This is one of those times.
>
>CVR2 is the 5 day RSI of VIX. Market is a sell on RSI(5) close below 30 and
>an uptick thereafter.
>CVR3 is the close 10% above or below the trailing 10 day simple ma of VIX.
>Market is a sell on close below the -10% band and a reversal back inside.
>
>Per his book, these signals have a better than 60% accuracy rate.
>
>In my experience,
>a/ they are usually wrong at the major inflection points, when a new
>intermediate bull trend is about to start.
>b/ the combination signals are usually irrelevant at such inflection points
>except for the very agile or the very patient.
>c/ combination signals are better than single signals.
>
>The trading horizon for these signals is 2 to 6 days (ie one takes the
>signals per the triggers and then exits positions 2-6 days later).
>
>Interested traders may check out price/vix action around Feb 1997 for
>reference to failures.
>
>Historical data for VIX is also available going back to 1986 at CBOE's
>website - for the really curious.
>
>Representative chart for VIX attached.
>
>Finally -
>1. VIX calculation starts using next month options 8 days before front
month
>expiration. Hence today's vix uses Jun00 options.
>2. The good OEX Doctor will probably write this off as, quote, "one of the
>cottage industry" indicators.
>
>FWIW. Always amazes me how the market sets up long volatility trades going
>into Fed meetings.
>
>Gitanshu
>
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