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Hi Rhonda and all RT's,
Several days ago I read the following article
regarding the QQV. Have you done any worn combining Hurst and the
QQV?
Good luck and good trading,
Ray Raffurty
The QQV
by David Nichols, Editor
Most people are very familiar with the QQQ, the immensely popular tracking
stock for the Nasdaq 100. Trading in the "triple Qs" is a daily frenzy: over
92.3 million shares traded hands just yesterday.
Options on the QQQ are also the biggest single options market in terms of
numbers of contracts traded. Yesterday's volume was a whopping 244,000
contracts.
Yet even with all this activity and speculation, most people don't realize
that the American Stock Exchange provides an implied volatility measurement --
exactly similar to the VIX -- on the QQQ. This implied volatility on the QQQ is
known as the QQV.
This is how the American Stock Exchange defines the QQV, for a quick
refresher course:
"The QQQ Volatility Index (QQV) is an indicator of investor sentiment about
the future volatility of the Nasdaq-100 Index Tracking Stock (QQQ). QQV is
derived from bid/ask quotes of QQQ options. QQV measures the implied volatility
of a hypothetical QQQ option which is always at-the-money with a constant
one-month maturity. Standardizing striking price and option maturity in this
manner facilitates a consistent comparison of volatility over time."
Most people, including me, usually scrutinize the VXN to get sentiment data
on the Nasdaq 100. This volatility measurement is computed in a similar way from
pricing on NDX options -- yet there were only 4,471 NDX contracts traded
yesterday.
Obviously the QQV represents a much wider sampling of raw investor sentiment
than the VXN. I was amazed when I pulled up a QQV chart how much cleaner the
data looks. This makes sense with the huge volume disparity between the Qs and
NDX options.
So I'm shucking the VXN in favor of the QQV, starting right now.
<BLOCKQUOTE
style="PADDING-RIGHT: 0px; PADDING-LEFT: 5px; MARGIN-LEFT: 5px; BORDER-LEFT: #000000 2px solid; MARGIN-RIGHT: 0px">
----- Original Message -----
<DIV
style="BACKGROUND: #e4e4e4; FONT: 10pt arial; font-color: black">From:
Rhonda
Guilbeaux
To: <A title=realtraders@xxxxxxxxxxxxxxx
href="mailto:realtraders@xxxxxxxxxxxxxxx";>realtraders@xxxxxxxxxxxxxxx
Sent: Wednesday, August 28, 2002 5:08
PM
Subject: [RT] VIX Daily Hurst 4
update
This is the same
VIX Hurst
4 chart I posted last week.
So, far VIX is following the
projected path
well. High today
in the VIX was 36.96 which is where
the
top of the middle band envelope
is.
Larger upper band is in 41
area
I added in a comparison coming off the
September lows with price action in the
S&P and VIX. Ignore the dates in
October, just
mainly looking for the rise in the VIX
then
in conjunction with the price drop in the
S&P at that time.
We're entering the time and price
area here to where I'm looking for
an entry to go long in
conjunction
with the indices. <FONT
size=+0> I closed my
short position today.
A break of todays lows tommorrow in the
S&P and looking
for 898-910 to be strong support and
will see how price reacts in this
area.
Best,
Rhonda
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