Mid Week VIXology

Now that the excitement's over for AA and INTC I thought this might be a good time to see how the VIX was doing longer term . . in this case on daily (above) and 65 minute bars (below).
OK .. a little aside here. I keep mentioning the use of 65 minute bars in lieu of 60 minutes (hour) bars because there are 390 minutes in the trading day and 60 doesn't go into 390 very well, while 65 (or 130) fits very nicely. Now, in the process of bringing Project Z to the market in the forthcoming ETF Prophet site, one of my loyal trading buddies tested the SSO/TLT model using both 60 and 65 minute bars. The results are pretty amazing, with the 60 minute model showing a flat equity curve, while the 65 minute version was a true thing of beauty with a continuously upslope equity curve. Now that analysis applied only to the modified z score algorithm that drives Project Z, but let me just suggest that system traders working on hourly bar signals may do themselves a favor and try 65 minute bars for a performance comparison.

And now, the VIX. I've drawn some whimsical support and resistance lines on the daily chart, supporting an otherwise completely non-technical view that the VIX's next move will be UP. The 65 minute chart kind of leans in that direction also although we have to temper any enthusiasm with the realization that the VIX tends to behave oddly during the final days preceding expiration, as was noted in yesterday's post and as is evident in today's action on the 2 minute bars.

We're seeing the rollers turn red as of this post and I'm off to Coronado to visit some friends and play a few holes so I won't be around to see today's closing. I will mention in conjunction with the Tuesday INTC report that I have a deep pockets trader buddy who places one trade religiously every quarter. He shorts INTC afterhours on positive earnings reports and then dumps the stock either at the open or throughout the next day. This simple lay in wait tactic has netted him a substantial nest egg over the years and bears closer scrutiny for those interested. I ran the same game with EK for years with equally high probability results. . . although EK isn't the market force it used to be and now that game is more like chasing water down the drain.