Monday, November 30, 2009

Monday VIXology

This week should provide a clearer view of the Dubai World default fallout. Based on the results of the latest VXX PDQ update the technicals are poised for further market weakness.
Note that most of the Long signals are 2 to 3 days old and the median N days value for the current longs is about 5, which means signal re-evaluation on Wednesday will be required in order to confirm VXX momentum.
The VIX has jumped ahead of the VXX since July, although the ratio study below suggests that, at least short term, the VIX may be due for a little pause. With a confluence of the charts now sitting near or dead on the (LR30) linear regression channel 30 day mean, mean reversion traders are looking for a bounce.
In the face of these mixed signals, Monday's momentum catalyst is likely to be news driven and risk adverse technical traders are best served by waiting for the trend to be more clearly defined.
Finally, I note without comment a little item in the Financial Times that traders at Goldman Sachs suffered only one losing day during the 65 business days of the third quarter. On 36 separate days during the quarter, the firm's trades netted more than $100 million each day.

No comments: