************************ If you would like to read Chapter One of my new book Buy The Fear, Sell The Greed – 7 Behavioral Quant Strategies for Traders, please click here. ************************ I thought you’d enjoy reading this working paper on applying the VIX term structure to timing the S&P. Their concept of buying SPY puts and… [Read More]
Connors Research Traders Journal (Volume 6): New Volatility Index From The CBOE
Good news. The CBOE just launched a new 1-year Volatility Index VIX1Y. This is significant and I’ll explain why in a minute. First, to make sure you know what the CBOE now offers and what it means, I’ll walk you through their five major Volatility Indexes. 1. VXST – 9-day Implied Volatility. Within VXST are two lesser… [Read More]
Hedge Fund Rebalancing Sell-off
The word is that yesterday’s substantial sell-off in the higher volatility, high momentum stocks were hedge funds re-balancing their portfolios volatility. Because VIX has moved from 11-12 all the way up to as high as 16 yesterday, the avg. fund has taken on too much intended risk/volatility and the adjustment brings then in-line with where… [Read More]
Two Main Themes of 2014
Good Morning, There have been two main themes I have been mentioning since the beginning of this year: 1. There were too many people bullish coming into the year. As I mentioned in the first commentary of 2014, in 31 years in the industry I had not seen a year enter where bullishness was so… [Read More]
Volatility Spikes Down After Fed Meeting
VIX fell 14.87% on Wednesday as traders reacted to the Fed’s decision to scale back its bond purchases. ETFs based on VIX are 4-8 times more volatile than the broad stock market and volatility ETFs could provide short-term buying opportunities if markets reverse their gains in the next few days. VelocityShares Daily 2x VIX ST… [Read More]
SPY Down, VIX Jumps
Wednesday was only the 18th day in 2013 that SPY lost more than 1%. The VIX jumped over 10% and VXST (9 day volatility) spiked over 20% which is an exceptional one day move. It appears that the panic button was hit on Monday as protection is being purchased ahead of the December 18th Fed… [Read More]
VIX Spiked & Plunged…
The market remains oversold. The VIX spiked and then plunged from its highs in the afternoon which is always a good sign of capitulation ahead of a rally. There are still many stocks with extremely low RSI readings and any type of good news is likely going to lead to a resumption of the bull… [Read More]
VIX Rises for 6th Straight Day…
The market is now oversold with a ConnorsRSI reading of 18.26. What’s interesting is to see the VIX rise for the sixth consecutive day, a fear reading that has been rare over the past two years. With so many stocks and ETFs oversold, the market is likely nearing a short-term bottom within a a day… [Read More]
10% Spike in VIX in Past 2 Days…
There’s been a 10% spike in volatility over the past two days and the market is now slightly oversold (ConnorsRSI reading of 33.59). The price movement in the US is muted but the fear has begun to rise as seen in the VIX and also seen in the Latin American countries which tend to swing… [Read More]
The Low Volatility Bull Market Continues…
Another day up less than 1% day and the low volatility bull market continues. In spite of this rally, the market is only mildly overbought and the world markets are neutral. VIX is quiet and unless something out of the ordinary occurs the path is going to remain higher. For today’s official Daily Battle Plan set-ups… [Read More]