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
441 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
4,599 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
441 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
4,599 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
441 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
4,599 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



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