StockFetcher Forums · General Discussion · Volatility Analysis - VIX spikes and SPX follow through 1-3 days later<< 1 ... 5 6 7 8 9 >>Post Follow-up
BarTune1
403 posts
msg #82939
Ignore BarTune1
11/12/2009 2:53:51 PM

I just covered my short on LMT at a slight profit.

Consider shorting WYNN - very overbought here.

There was non available with my broker so I purchased some UWY JAN 65 PUTS at 4.85.

Kevin_in_GA
4,538 posts
msg #82943
Ignore Kevin_in_GA
modified
11/12/2009 4:05:46 PM

TZA behaving very nicely today (+6.2%), although all of my 3x Bears have recovered and are profitable right now.

I'll hold these through tomorrow - statistics argue that, of the last 12 times the VIX has closed up two days in a row, the SPX on the following day has dropped by another -0.43%.

stratiG
147 posts
msg #82946
Ignore stratiG
modified
11/12/2009 4:36:51 PM

Kevin,

you might like this blog

http://quantifiableedges.blogspot.com/2009/11/vix-rises-as-spx-hits-new-high.html




BarTune1
403 posts
msg #82953
Ignore BarTune1
11/12/2009 6:51:03 PM

Well Kevin, I got out of about 1/2 my SDS position at 37.30 and 37.40 around 3:57 pm when it was slightly above its 5 dma of 37.28. Dont know if it was the right decision or not. Will tell you tomorrow.

Took a loss on the SDS as, in hindsight, I got in too early. I didn't properly scale in and took a huge position Monday.

My SKF is at 24.58 whereas the 5 dma is at 24.60.

I hope you are right about tomorrow being a down day.

trendscanner
265 posts
msg #82956
Ignore trendscanner
11/12/2009 7:51:11 PM

tmanbone - thanks for the Amazon link. The Conners ETF book was on sale at the TradingMarkets site for $39.95, plus they offer a downloadable version for no extra charge, so I bought it there. Have downloaded and looked through it briefly but haven't read it in detail yet.

Surprised to see a few rsi2 strategies in the book. He calls it "2 period rsi" but its the same thing. Small world.....

tmanbone
124 posts
msg #83034
Ignore tmanbone
11/13/2009 7:49:38 PM

trendscanner, great, you found a good deal on the books; I've always liked Amazon because they deal in used books and you can find decent deals instead of buying new. I'll have to check out the trading markets site. Thanks

Kevin_in_GA
4,538 posts
msg #83036
Ignore Kevin_in_GA
11/13/2009 8:20:48 PM

BarTune1
11/12/2009 6:51:03 PM

Well Kevin, I got out of about 1/2 my SDS position at 37.30 and 37.40 around 3:57 pm when it was slightly above its 5 dma of 37.28. Dont know if it was the right decision or not. Will tell you tomorrow.

Took a loss on the SDS as, in hindsight, I got in too early. I didn't properly scale in and took a huge position Monday.

My SKF is at 24.58 whereas the 5 dma is at 24.60.

I hope you are right about tomorrow being a down day.

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

Well, not the right call on the SPX today - statistically it had an edge to be down, but not enough I guess.

I had put in limit orders to buy more of my 3x bears if the price got to a critical level (about 1100 on the ^SPX), but they didn't fill. I guess that's OK, since I am only down less than 2% right now. No real reason to average down just yet.

I am a little concerned about options expiration week (next week). The market has relentlessly moved forward during OpEx recently. Fingers crossed.

HEY, you're SKF didn't move a penny!! What are the odds of that??

Kevin

BarTune1
403 posts
msg #83043
Ignore BarTune1
modified
11/13/2009 10:45:00 PM

Kevin, I tried to get out of my SKF around 24.80 and change but missed it ..... I ended up adding a number of short positions today actually ..... hi RSI(2) stocks like more WYNN, CAH, HBC, AMZN & MSFT .... pretty much sold them all near their tops today ..... I'm scaling in so there is not too much risk in my view ....

I realize options expiry week has been very positive the last couple months but I am having difficulty seeing the market advance much further in the short term given the run-up this month ....... and last month and the month before etc.



drew9
171 posts
msg #83083
Ignore drew9
11/14/2009 9:00:02 PM

The blog above was quite insightful. If you go and change Chetron's filter that Trendscanner posted to reflect 10% bands around the VIX moving average it really is quite dead on - particularly for determining bottoms. Just wait for it to kick above plus 10% and when it turns down you have your confirmation. Nice work!

Kevin_in_GA
4,538 posts
msg #83093
Ignore Kevin_in_GA
modified
11/15/2009 10:59:46 AM

Here are two quick charts that might be of interest:

^SPX with Bollinger Bands and Stochastics

^VIX with Bollinger Bands and Stochastics


Note that these stochastics settings do a pretty good job of catching the highs and lows. Also indicates that we are probably in for a reversal and downturn in the SPX this week (unless the dollar totally craps out).


Kevin



StockFetcher Forums · General Discussion · Volatility Analysis - VIX spikes and SPX follow through 1-3 days later<< 1 ... 5 6 7 8 9 >>Post Follow-up

*** Disclaimer *** StockFetcher.com does not endorse or suggest any of the securities which are returned in any of the searches or filters. They are provided purely for informational and research purposes. StockFetcher.com does not recommend particular securities. StockFetcher.com, Vestyl Software, L.L.C. and involved content providers shall not be liable for any errors or delays in the content, or for any actions taken based on the content.


Copyright 2016 - Vestyl Software L.L.C.Terms of Service | License | Questions or comments? Contact Us
EOD Data sources: DDFPlus & CSI Data Quotes delayed during active market hours. Delay times are at least 15 mins for NASDAQ, 20 mins for NYSE and Amex. Delayed intraday data provided by DDFPlus