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GB does nice work, but if we take a look at the CBOE put call ratios we see
that the Equity P/C ratio is marginally bullish and the CBOE Total (Index +
Equity) P/C ratio is neutral and the $C/$P OEX ratio is neutral. There is a
downtrendline at 780 on the OEX which may provide early morning resistance
on Tuesday, but if penetrated decisively would drop the VIX and modify these
put call ratios a bit. Right now it looks like the ratios are indicating a
lot more room available on the upside.
BobR
----- Original Message -----
From: charles meyer <chmeyer@xxxxxxxx>
To: <realtraders@xxxxxxxxxxxxxxx>
Sent: Monday, May 15, 2000 4:02 PM
Subject: [RT] Re: sp500/nd
> 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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