tag:blogger.com,1999:blog-18657157.post460743856937941338..comments2024-02-10T02:17:57.075-08:00Comments on b z b t r a d e r: VIX Exhaustion?bzbtraderhttp://www.blogger.com/profile/11607843481812042367noreply@blogger.comBlogger1125tag:blogger.com,1999:blog-18657157.post-9733829249127097292009-07-16T16:49:41.560-07:002009-07-16T16:49:41.560-07:00I visit your site every day, and I'm especiall...I visit your site every day, and I'm especially glad I did so today--I guess "old farts" perseverate over details too much in this goofy market.<br /><br />Anyway, I use a prop VIX oscillator that uses variance estimates in combination with a fixed period moving average. The osc has been running very stable since the first of year, with maximum and minimum cycles that are "callable". The 14th I made a post on my blog that "something's up with the VIX." Rather than peaking at +/- 2.0 and then reversing, it made an incursion into the -3.3 region on 07/07. It subsequently reversed and on 07/14 peaked at around +2.7. Those kind of values have not been observed since 10/10/08 to the end of '08, and I've pretty much been baffled at both the RSI and VIX osc action because those two really work well together.<br /><br />I think your suggestion about the period of the VIX cycle is important here and I will look at that over the weekend. Since a fixed period moving average of data is used in my osc, I'll check to see if the length of the H/L cycle affects the maximum and minimum values.<br /><br />Cheers and keep up the great work.Discussion Leader...https://www.blogger.com/profile/17628014943437121860noreply@blogger.com