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Deviating just a bit, comparing the VIX and the
cboe dollars going into calls vs puts in a $C/($C/$P) ratio where 0.50 is equal
amounts into calls and puts. VIX has been moving in a tight range since
late January up through Friday 3/14. Sentiment as measured by where the
money is placed has gone from overbought in January to oversold in
February to neutral in March.. Using the w.ez-pnf.com free data on call
and put open interest, the big jump on Thursday nulled out any open interest
directional bias. Some advisory services were recommending strangles and
straddles going into the breakout of war with the expectations of a big move one
way or the other. Right now it looks like there is no strong bias for
either direction.
bobr
<BLOCKQUOTE
>
----- Original Message -----
<DIV
>From:
Clyde
Lee(SBCY)
To: <A title=realtraders@xxxxxxxxxxxxxxx
href="">realtraders@xxxxxxxxxxxxxxx
Sent: Sunday, March 16, 2003 8:38
AM
Subject: Re: [RT] VIX
So while you are looking, look at the
attached. Start toward a system.
The bottom graph is a PercentR (turned over) for
the VIX.
Look at what it says. This is a very short
one. Will take a look at a
longer one after a while.
Clyde
- - - - - - - - - - - - - - - - - - - - - - - - - - - -Clyde
Lee
Chairman/CEO (Home of
SwingMachine)SYTECH
Corporation email: <A
href="">clydelee@xxxxxxxxxxxx 7910
Westglen, Suite 105
Office: (713) 783-9540Houston, TX
77063
Fax: (713) 783-1092Details
at:
www.theswingmachine.com- - -
- - - - - - - - - - - - - - - - - - - - - - - - -
<BLOCKQUOTE
>
----- Original Message -----
<DIV
>From:
Ray
Raffurty
To: <A
title=realtraders@xxxxxxxxxxxxxxx
href="">realtraders@xxxxxxxxxxxxxxx
Sent: Saturday, March 15, 2003 9:50
PM
Subject: Re: [RT] VIX
She's worse off than me, she's working (manages
a Linen 'N Things store) but I'm going to fix dinner, stakes on the grill,
home made potato salad (my specialty) and corn on the cob. Summer
is here thank God.
Ray Raffurty
<BLOCKQUOTE
>
----- Original Message -----
<DIV
>From:
Clyde
Lee(SBCY)
To: <A
title=realtraders@xxxxxxxxxxxxxxx
href="">realtraders@xxxxxxxxxxxxxxx
Sent: Sunday, March 16, 2003 11:21
AM
Subject: Re: [RT] VIX
Yeah, do what I'm fixing to do.
Take my wife down to the Galleria for
lunch--she is due that.
I'll do a vix based system
later.
Clyde
- - - - - - - - - - - - - - - - - - - - - - - - - - -
-Clyde Lee
Chairman/CEO (Home
of SwingMachine)SYTECH
Corporation email:
clydelee@xxxxxxxxxxxx
7910 Westglen, Suite 105
Office: (713) 783-9540Houston, TX
77063
Fax: (713) 783-1092Details
at:
www.theswingmachine.com-
- - - - - - - - - - - - - - - - - - - - - - - - - - -
<BLOCKQUOTE
>
----- Original Message -----
<DIV
>From:
Ray
Raffurty
To: <A
title=realtraders@xxxxxxxxxxxxxxx
href="">realtraders@xxxxxxxxxxxxxxx
Sent: Saturday, March 15, 2003 9:12
PM
Subject: Re: [RT] VIX
An even better idea, unfortunately I do not
have the software or data to test it. I was hoping someone with
the time would explore it's value. Any takers?
Good luck and good trading,
Ray Raffurty
P.S. I need a life. It's a
beautiful Sunday morning, temperature in the high 60 and I'm sitting her
thinking about the VIX. {;-(
<BLOCKQUOTE
>
----- Original Message -----
<DIV
>From:
Clyde
Lee(SBCY)
To: <A
title=realtraders@xxxxxxxxxxxxxxx
href="">realtraders@xxxxxxxxxxxxxxx
Sent: Sunday, March 16, 2003
10:37 AM
Subject: Re: [RT] VIX
Ray,
Doing that kind of an application is a
"piece of cake" in Tradestation
(any of them that is).
However, I do not think that using fixed
values will work worth a damn.
It is more likely that if you do
something like Larry William's %R (or
whoever really invented it) to the VIX
then you might have something
that would work for both entrance and
exit.
Clyde
- - - - - - - - - - - - - - - - - - - - - - - - - - -
-Clyde Lee
Chairman/CEO
(Home of SwingMachine)SYTECH
Corporation
email: <A
href="">clydelee@xxxxxxxxxxxx
7910 Westglen, Suite 105
Office: (713) 783-9540Houston, TX
77063
Fax: (713) 783-1092Details
at:
<A
href="">www.theswingmachine.com-
- - - - - - - - - - - - - - - - - - - - - - - - - - -
<BLOCKQUOTE
>
----- Original Message -----
<DIV
>From:
Ray
Raffurty
To: <A
title=realtraders@xxxxxxxxxxxxxxx
href="">realtraders@xxxxxxxxxxxxxxx
Sent: Saturday, March 15, 2003
8:51 PM
Subject: Re: [RT] VIX
Hi Clyde,
I'm not sure that this idea is ready
for that. I was thinking more along the lines of
something simpler to begin with and explore the VIX's value as an
indicator for the QQQ's. For example buying the QQQ's
when VIX > 40 and shorting the QQQ's when VIX < 28
(or what ever values back testing may show to have
value).
Since I don't have Trade Station, I
don't know how easy or difficult it is to create a buy/sell
signal in one index (QQQ's) based on the value of another
index (VIX). If that is possible the next step would be to
explore exit strategies. Since the VIX can be neutral for
long periods, a stop and reverse strategy would not (consistently)
work. Also, since the VIX can stay above or below a given
level for days (or weeks), trailing stops might take out a position
just before it moves in the
anticipated direction.
Any thoughts or comments are
welcome.
Good luck and good
trading,
Ray Raffurty
<BLOCKQUOTE
>
----- Original Message -----
<DIV
>From:
<A title=clydelee@xxxxxxxxxx
href="">Clyde Lee(SBCY)
To: <A
title=realtraders@xxxxxxxxxxxxxxx
href="">realtraders@xxxxxxxxxxxxxxx
Sent: Saturday, March 15,
2003 11:34 PM
Subject: Re: [RT] VIX
Here are some pictures going back to
9/2000.
Without doing some linear trend
adjusting it is tough to get these
things so they will scale to a point
for comparison.
I believe that if anything the QQQ is
leading or concurrent with
the VIX which is EXACTLY what I would
expect.
Clyde
- - - - - - - - - - - - - - - - - - - - - - - - - - -
-Clyde Lee
Chairman/CEO
(Home of SwingMachine)SYTECH
Corporation
email: <A
href="">clydelee@xxxxxxxxxxxx
7910 Westglen, Suite 105
Office: (713) 783-9540Houston,
TX
77063
Fax: (713) 783-1092Details
at:
<A
href="">www.theswingmachine.com-
- - - - - - - - - - - - - - - - - - - - - - - - - -
-
<BLOCKQUOTE
>
----- Original Message -----
<DIV
>From:
<A title=r.raffurty@xxxxxxxx
href="">Ray Raffurty
To: <A
title=realtraders@xxxxxxxxxxxxxxx
href="">realtraders@xxxxxxxxxxxxxxx
Sent: Saturday, March 15,
2003 12:05 PM
Subject: Re: [RT] VIX
Hi All RT's,
I was struck by the high
correlation between the VIX and the QQQ's. I wasn't
looking for it and only posted the QQQ's as an after
thought. During the last 6 months (shown) the VIX has been
a LEADING indicator of the QQQ's.. This may be because of
the popularity of the QQQ's with "amateur" traders who may be
subject to greater pressures from fear and greed.
Unfortunately I do not have
software or enough data to back test his hypothesis and was
hoping someone with the time and wherewithal would do it, to
confirm or refute.
Thanks in advance,
Ray Raffurty
<BLOCKQUOTE
>
----- Original Message -----
<DIV
>From:
<A title=r.raffurty@xxxxxxxx
href="">Ray Raffurty
To: <A
title=realtraders@xxxxxxxxxxxxxxx
href="">realtraders@xxxxxxxxxxxxxxx
Sent: Tuesday, March 11,
2003 1:46 AM
Subject: Re: [RT]
VIX
You can get charts of VIX in
various time frames for free at <A
href="">http://bigcharts.marketwatch.com
The first chart is the VIX alone
to create is go to the web site above, enter the symbol VIX
and click "Interactive Charts". You man need to turn off
some default settings to get a clean chart.
The second chart is SPX compared
to VIX. Go to the web site above, enter the
symbol SPX and click "Interactive Charts". Turn off
any defaults and enter "Compare To" "Symbol" VIX
.
The third chart is NDX
compared to VIX. Go to the web site above, enter the
symbol NDX and click "Interactive Charts". Turn off
any defaults and enter "Compare To" "Symbol" VIX.
The last, and perhaps most
interesting, chart is QQQ compared to VIX. Go
to the web site above, enter the symbol QQQ and click
"Interactive Charts". Turn off any defaults and enter
"Compare To" "Symbol" VIX .
As you may know VIX is a contraireian indicator and is
mostly neutral right now.
Hope this helps.
Good luck and good trading,
Ray Raffurty
<BLOCKQUOTE
>
----- Original Message -----
<DIV
>From:
<A title=groups@xxxxxxxxxxxxxxxxxx
href="">MOJO
To: <A
title=realtraders@xxxxxxxxxxxxxxx
href="">realtraders@xxxxxxxxxxxxxxx
Sent: Friday, March 14,
2003 3:01 PM
Subject: [RT] VIX
Hi,
Anyone what the VIX is saying
right now on S&P, Nasdaq ?
Are we at a top or bottom
?
Also while we on the subject
what data and software can you use to work it out
?
Are there any sites that
regularly show updates and charts on the VIX index
?
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