Monday, December 07, 2009

Monday VIXology

A quick look at our VIX 4 square style box is generating mostly neutral signals.
With the exception of the dollar, which made a big surge on Friday, the VIX, VXX and Qs are all riding the MACD zero line.
Note the unusual disparity between the LR30 slope of the VIX and VXX. The more likely resolution of this conflict is the development of the VIX LR30 to downslope, which would be bullish for the capital markets.
The VXX Dashboard (not shown) is not offering much help on this front, with a current balance of long and short signals.
Each time the VIX has fallen below 21 in the past 2 weeks, it has rallied, although not convincingly.
Going into the holiday season this low volume, low volatility consolidation may be the emerging pattern and next week's price action should be a good indicator of that scenario..

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