StockFetcher Forums · General Discussion · Volatility Analysis - VIX spikes and SPX follow through 1-3 days later<< 1 2 3 4 5 ... 9 >>Post Follow-up
Kevin_in_GA
4,546 posts
msg #82361
Ignore Kevin_in_GA
11/3/2009 6:12:30 PM

bought 1 TNA 38 call @ 2.55 on 10/31
sold 1 TNA 38 call @ 3.90 on 11/03
for a $255 investment your return was $133
a tad better than 50% not to shabby home team!
++++++++++++++++++++

Are you sure about that sell price? I see the 36 call hit that as its ask today, but only got as high as 3.60 on its bid.

The 38 calls could only have been sold for $2.60, the highest bid price today.

Kevin_in_GA
4,546 posts
msg #82362
Ignore Kevin_in_GA
11/3/2009 6:18:46 PM

Keith:
Are you saying the VIX can predict market closing prices?

+++++++++++++++++++++++++

Karen (or parhaps I should start calling you Kathy...):

Yes, under situations where the volatility exceeds certain conditions in either direction.

Keith (also known as Kevin)

BarTune1
403 posts
msg #82363
Ignore BarTune1
11/3/2009 6:33:38 PM

Well, I got out of my EWC and some XME that I had in another account today at a modest profit. Still holding on to SSO, IYG, RZV. The other trades I exited the last few days have all been profitable. Slow and steady is the way ....

karennma
6,827 posts
msg #82365
Ignore karennma
11/3/2009 7:23:10 PM

Kevin:
Kathy, Kevin, Keith ... whatever!!
LOL!
Honestly, I am suffering from SEVERE brain-fatigue, and will have to cut down on my trading.
Watching RIMM go up $4 today, made my stomach churn .. BADLY. (I was so tired last nite, I didn't check my filters, which clearly showed RIMM a buy).
Doing this day in and day out ... FULL-TIME IS starting to make me "batty".

:>(



Kevin_in_GA
4,546 posts
msg #82379
Ignore Kevin_in_GA
modified
11/3/2009 9:41:40 PM

Final set of statistics (I swear) ...

After two up days following the VIX spike, what was the performance of the SPX on the third day?

Ignoring the day of the week on which the VIX spike occurred, this has happened 50 times since 1999.

In 30 instances (60%) the SPX closed lower than the previous day, by an average of -0.40%

However, the last 10 instances had 8 lower closings (80%), and the average was a much lower -1.72% .

Bottom line - longer term odds favor a lower close tomorrow, but still ending above the Friday close. Shorter term odds also favor a lower close, but one that may go back below the SPX close on the VIX spike day. This may or may not trigger a new VIX spike, upon which long trades may resume.

Kevin


crunkle
54 posts
msg #82388
Ignore crunkle
11/3/2009 11:21:09 PM

Kev

Be careful of the Fed announcement tomorrow afternoon. It could likely be a catalyst for a sharp sell-off.

Kevin_in_GA
4,546 posts
msg #82400
Ignore Kevin_in_GA
11/4/2009 7:45:51 AM

FOMC announcement plus more earnings on tap for today - who knows where it will go?

Tonight I'll run a similar analysis on down spikes in the ^VIX, which can be good indicators for going short.

I'm already out from my TNA trade, so no worries. I'm still holdng some GNW, but that has been a pretty good play since its earnings announcement last week. By week's end I should be entirely in cash, unless the ^VIX triggers another long or short signal.



tmanbone
124 posts
msg #82404
Ignore tmanbone
11/4/2009 8:22:56 AM

Are you sure about that sell price? I see the 36 call hit that as its ask today, but only got as high as 3.60 on its bid.

The 38 calls could only have been sold for $2.60, the highest bid price today.

Looked at Dec instead of Nov sell price .05, roughly 2%

Kevin_in_GA
4,546 posts
msg #82409
Ignore Kevin_in_GA
11/4/2009 8:57:38 AM

Tmanbone:

Just hold it at least until ahead of the FOMC announcement today - look at the market futures right now. It should give you another dime or two at least.

At 25 cents (selling the Nov 38 call at a bid of 2.80), you'll make 10% in three days. Nice... although the 10 or 15 cent spread kind of sucks. I wish I had added to my position on Monday when it got to 1.90 or so.

I am paper trading the same Nov 38 call (20 contracts @2.55), which is why I noticed your post - I debated selling yesterday and taking a tiny profit, but thought that I could squeek out a little more money today.

These things trade in 5 cent increments, so just set your threshold at 2.75 or 2.80 and you're likely to get it filled.



Kevin_in_GA
4,546 posts
msg #82412
Ignore Kevin_in_GA
11/4/2009 9:19:57 AM

S&P futures up +0.80% to 1050 at 9:17 AM. Should be an up morning. Statisitcs would argue that this might be a good time to buy SDS, given that historical data shows a drop from yesterday's close on the third day out from the VIX spike.

Factors that might influence or alter this or the FOMC announcement, and earnings reports.

StockFetcher Forums · General Discussion · Volatility Analysis - VIX spikes and SPX follow through 1-3 days later<< 1 2 3 4 5 ... 9 >>Post Follow-up

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