Here's the 4 volatility indices at today's close as seen on weekly bars. I can't show the Russell RVX as Worden doesn't support that symbol. As we mentioned before VXX is not an index but an ETN and as such behaves in a different manner than the formal indices. What I'm interested in here is the amplitude of the volatility peaks and as you can see the VNX is actually leading the VIX, hinting that the recovery in the Qs may be a bit earlier and with possibly more gusto than the SPY. That's just a working premise and not a quant model. In fact, in today's early rally into the green the SPY led the way. . ahead of both the Qs and the IWM.Wednesday, May 05, 2010
Volatility indices @ upper resistance
Here's the 4 volatility indices at today's close as seen on weekly bars. I can't show the Russell RVX as Worden doesn't support that symbol. As we mentioned before VXX is not an index but an ETN and as such behaves in a different manner than the formal indices. What I'm interested in here is the amplitude of the volatility peaks and as you can see the VNX is actually leading the VIX, hinting that the recovery in the Qs may be a bit earlier and with possibly more gusto than the SPY. That's just a working premise and not a quant model. In fact, in today's early rally into the green the SPY led the way. . ahead of both the Qs and the IWM.
Subscribe to:
Post Comments (Atom)
2 comments:
Cmon, you half baked genius. This is what you were born for. Finish your model. Floating volatility flux variance, over time; including sea level changes, and more typical reversions to mean. Quantify it!
Volatility, like cyclicity itself, comes and goes in cycles, waxes and wanes in cycles. Cycles float in Time (over Time?), as Time itself floats in Eternity.
Volatility constricts, then expands, in standard deviations from its MEAN of “intrinsic volatility”. And as everyone knows--there’s no blinking the fact--if one grasps the ‘intrinsic volatility’ of an underlying security, one knows exactly how to invest in it.
Intrinsic volatility is the Holy Grail of investing.
So stop beating around the bush, and grasp it.
Quantify it.. and generate red and green lights.. and guide us thru this next most difficult of periods.
Thanks.
Daniel,
I'm not sure whether this comment is meant to be disparaging or supportive but there are, I believe, limits to technical analysis and Thursday's market swoon was proably one example. The fractal use of the VIXEN trade remains my bread and butter and continues to perform effectively regardless of the ATR. The operational algorithm for this trade is the basis of Project Z, which will be further discussed in this weekend's post.
Post a Comment