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VXX

VIXM long when RSI approaching 50In my prior VIX ideas, I analyzed VIX value trends. I noted that the mid-term VIX etfs/etns (VIXM and VXZ) tended to trend downwards over time and also lagged behind VIX value movements. After then analyzing VIXM, I noted these observations can be seen quantitatively in the RSI. Note that the VIXM is usually declining with a negative RSI. Successful VIXM long trades appear to occur as the RSI trends up and crosses 50. Volumes are usually high as well. While I opened long positions in VIXM and UVXY, that was premature and these will not do well short term. Certainly a cost averaging approach can work but VIXM reacts slowly. I will not buy more VIXM until the RSI is trending up towards 50 with increasing volumes. Since these low VIX episodes occur during strong bull markets, drops in the S&P 500 (and rising VIX) are leading indicators for going long in VIXM.
CBOE:VIXMLong
by haug01
VXX should open upThe VIX futures had a strong move up after the market closed. the VIX rtfs/etns should open higher. The high volumes also correlate with improving RSI. It is not clear whether the SPX500 will keep falling with increasing volatility going forward. tntsunrise shows a possible rise in the SPX500 to a shorting zone, then a further fall. VXX may be traded in the short zone if that happens. A starting VXX position may be taken here with a stop loss. Check the VIXM chart for a daily RSI approaching 50 in an uptrend per my prior post. Big rises in VIXM requires several days of SPX500 crashing. Note the VIX rtfs/etns usually decline except when the SPX500 is crashing/falling. They are not truly coupled to the VIX but are like fiat currencies.
CBOE:VXXLong
by haug01
VIX Bull Market BehaviorThe VIX is now at a 52 week low. This may be a one day event or a several week event. The following data are meant to help guide the decision as to when to buy/go long on the short term and midterm VIX related etfs/etfs. The VIX daily minimum and closing prices were downloaded from the CBOE website. The % of days with daily minimums and daily closing prices were then analyzed from May 23, 2014 to August 5, 2016. The time from May 23, 2014 to July 24, 2014 (43 trading days) was identified as a bull market run withe the VIX closing < 11.5 on May 23, 2014. May 23, 2014 VIX closes at 11.36 July 24, 2014 (S&P 500 Daily Cycle Top) at 1988. July 24, 2014 VIX closes at 11.84 From May 23, 2014 to July 24, 2014 (43 trading days): The VIX close was < 10.0 zero days (0 %). The VIX close was < 10.5 one day (2.3 %). The VIX close was < 11.0 nine days (20.9 %). The VIX close was < 11.5 fifteen days (34.9 %). The VIX close was < 12.0 thirty one days (72.1 %). The minimum VIX close was . The VIX low was < 10.0 zero days (0 %). The VIX low was < 10.5 three days (7.0 %). The VIX low was < 11.0 thirteen days (30.2 %). The VIX low was < 11.5 thirty one days (72.1 %). The VIX low was < 12.0 thirty seven days (86.0 %). The lowest VIX was .10.26. The VIX closed below 11.5 until August 22, 2016 After that, the VIX did not close below 11.5 until August 5, 2016 For traders interested in going long on the VIX rtfs and tens, positions may be opened when when the VIX is < 11.5 and especially when VIX is < 11.0 and < 10.5. For the midterm VIXM and VXY, a cost averaging strategy could be considered. I added to my VIXM position on 8/4/2014 and added UVXY calls on 8/4/2016.
TVC:VIXLong
by haug01
Inverted VIX: Ominous signalThis might be an interesting pattern to monitor. Lately the SPY has been outperforming inverted VIX, unlike what happened at the start of the 2016 uptrend, where we observed a shift from outperformance to underperformance. The inverted VIX daily chart shows a daily downtrend is ongoing and suggests we'll see a 22.88% drop (22.88% jump in VIX) over the next few days. Considering NFP on Friday, this might not only happen sooner than forecasted, but might be a conservative estimate. I'm holding SPY shorts (among other trades), and looking to hold for an extended period of time if we break under the monthly uptrend mode support in SPY. Keep close watch of this chart, and remember to keep position sizes safe, if you're holding trades over the weekend like I'm doing (considering NFP Friday). Check out my updated track record here: pastebin.com If interested in my real time whatsapp alerts and swing trading newsletter, or in personal tuition, contact me privately. I'm offering a considerable discount on a packaged course which includes access to my private trading signals list for a year. Cheers! Ivan Labrie Link to Tim West's chatroom: www.tradingview.com We discuss setups like this often there. Feel free to stop by and subscribe to his indicator pack. If you have any questions ask. Risk disclaimer: My analysis is provided as general market commentary and does not constitute investment advice. I will not accept liability for any loss or damage including, without limitation, to any loss of profit which may arise directly or indirectly from use of or reliance on such information.
TVC:VIXShort
by IvanLabrie
VIX Long: Quantitative analysisThe following data is meant to help guide the decision as to when to buy/go long on the short term and midterm VIX related etfs/etfs. The VIX daily minimum and closing prices were downloaded from the CBOE website. The % of days with daily minimums and daily closing prices were then calculated in three over 3 time periods ((the last 12 1/2 years, the last 9 years, and the last 2 years). Note that there are periods of low volatility during strong bull markets, especially the housing bubble . DATASET #1 Last 12 1/12 years: CBOE VIX daily minimum prices from 1/5/2004 to 7/29/2016. Last 3165 trading days days (from 1/5/2004 to 7/29/2016). Vix Value Number of days % of days < 10 12 0.38 < 10.5 62 1.96 < 11 144 4.55 < 11.5 250 7.90 < 12 384 12.1 CBOE VIX daily closing prices from 1/5/2004 to 7/29/2016. Last 3165 trading days days (from 1/5/2004 to 7/29/2016). Vix Value Number of days % of days < 10 4 0.12 < 10.5 35 1.11 < 11 92 2.90 < 11.5 174 5.50 < 12 302 9.54 There was an extended period of low volatility during the bull market run from November 2004 through June 2007 (the housing bubble). Since then, low volatility has been much less frequent. DATASET #2 Last 9 years: (9 years plus 1 month) CBOE VIX daily minimum prices from 7/2/2007 to 7/29/2016. Last 2287 trading days (from 7/2/2007 to 7/29/2016). Vix Value Number of days % of days < 10 0 0.00 < 10.5 3 0.13 < 11 14 0.612 < 11.5 39 1.71 < 12 83 3.63 CBOE VIX daily closing prices from 7/2/2007 to 7/29/2016 Last 2287 trading days (from 7/2/2007 to 7/29/2016). Vix Value Number of days % of days < 10 0 0.00 < 10.5 1 0.04 < 11 9 0.39 < 11.5 18 0.79 < 12 50 2.19 DATASET #3 Last 2 years: CBOE VIX daily minimum prices from 8/1/2014 to 7/29/2016. Last 504 trading days (from 8/1/2014 to 7/29/2016). Vix Value Number of days % of days < 10 0 0.00 < 10.5 0 0.00 < 11 1 0.20 < 11.5 5 0.99 < 12 31 6.15 CBOE VIX daily closing prices from 8/1/2014 to 7/29/2016. Last 504 trading days (from 8/1/2014 to 7/29/2016). Vix Value Number of days % of days < 10 0 0.00 < 10.5 0 0.00 < 11 0 0.00 < 11.5 1 0.20 < 12 12 2.38 The net results: I am setting trade alerts to notify me of VIX trading <12, < 11.5, and < 11.0. I will buy the midterm VIXM and VXZ when the VIX is < 12. I will consider buying the short term VIXY and VXX and the short term 2x leveraged UVXY when the VIX is < 11.0. The short term etfs/etns should not be held long term due to losses due to cotango. The daily leveraged etfs also usually decline due to daily rebalancing (I haver not checked UVXY on this0. The midterm etfs/etns decay more slowly over time (see my other posted VIX idea). Note that if we enter a sustained strong bull market like the bull market run from November 2004 through June 2007 (the housing bubble), this strategy will not work well. I am in the camp that a debt crash will occur at some point in the next couple of years. Also the US population will be going over its demographic cliff. . Note that, if we undergo a major crash, we may not see VIX below 12 for Note the highly respected chartwatchers (whom I trust a great deal) thinks we will be in a bull market for the next 1-2 years.
TVC:VIXLong
by haug01