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iPath S&P 500 VIX ST Futures ETN Message Board

  • stefanmuller19 stefanmuller19 Dec 2, 2010 8:13 PM Flag

    Bullish golden cross on VIX: 20, 30, 60, 90 day averages going higher

    This week the 20 day moving average on volatility finally crossed over all the slower averages. The 20, 30, 60, 90 day averages are all going up. Also, the 30 and 90 day implied volatilies finally started increasing. Same scenario as May and when this happens VXX starts overperforming the VIX, as it has done all week, even to the downside. This is all happening in anticipation of the January volatility increase reflected in the futures prices for a long time, not just the European crisis. Next two months will be an up and down roller coaster and VXX will consistently go higher as it did in the previous correction.

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    • You are either lying or just wrong. The 50-day moving average is well under the 200-day. A DEATH CROSS was formed in VIX at end of Sept., with the 50-dma moving down through the 200-dma.

    • I think Wall Street will send a message of dissatifaction to Washington by triggering a major sell off of the market tomorrow. Whether it pandemic sovereign debt, credit rating casualities, North Korea, or veto for extending Bush era tax cuts to wealthy individuals, the Street is unhappy with all the unresolved government issues that affect investors.

      Strong buy for the VXX.

    • You mentioned volatility increase in Futures contract. Where do you see that? I follow futures contracts too, but couldn't see anything out of ordinary. In fact the negative premium got even deeper after today's action.

      I would be very interested to see how do you come up with volatility increase on futures market.

      By the way, its is certainly POSSIBLE for VIX to shoot up without “waking up” the further away expiring VIX futures contract on its way up, but the history doesn't support that scenario based on last 3 years of data (since Jan of 2008). All I see now is normal market noise of VIX doing its thing.

      I haven't done any more back-testing going further than that. If you have any data backed idea, I would appreciate to hear about it. Thanks.

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