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VXZ_

VIX compressionThe vix has a history of forming explosive price wedges. It wouldn't be a stretch of the imagination to say we're forming a new wedge here. Also, I suspect that we're on the verge of a new upward wave in volatility from here- it might just be a lower high in a new wedge. The market has gotten way ahead of itself and there are just too many new traders piling into popular stocks. They are fish in a barrel and the cork is about to get pulled. The sentiment is absurd and we now have some of the lowest put:call ratio's I've seen in my years of trading (shorts squeezed out). I'm hoping for the market to retrace 50% of the last fed rally but I would be thrilled to see lower lows by Nov-Dec. Take a look at the other chart below on VIX weekly timeframe and notice the very clear cycle lows/highs with the sine wave on stoch/rsi indicator.. We're very close!
TVC:VIX
by gghsusa
12
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.
AMEX:VIXMLong
by haug01
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
Long in VXZThe VIX (red line) is near 52 its week lows. I went long on VIXM on 7/21/2016. After further research I found that VXZ has higher volumes (more liquidity). VXZ and VIXM do not decay as fast as the leveraged ETFs/ETNs. They also react more slowly, peak more slowly, and fall more slowly then the VIX and the short term ETFs/ETNs. Looking further back in time, shows that shows that VXZ and VIXM gradually decay over time. I do not understand the cause of this as they are not rebalanced. Perhaps there is a gradual loss of faith in them as a FIAT marker for the VIX (anyone who knows the correct reason, please comment/enlighten). Going long at 52 week lows may reduce the risk of medium term holds on this long position. This is a also a good black swan position. I am considering adding more long positions via VXZ.
AMEX:VXZLong
by haug01
3