Friday, March 23, 2007

20% Under the 10 Day SMA, Then What?

As usual, Adam Warner of the Daily Options Report has been all over the latest developments in VIX. He was the first to comment on the VIX falling 20% under its 10 day SMA on Wednesday (actually -19.3%) and has added two follow-up stories, most recently this morning, where he draws comparisons to the June-July VIX walkabout from last year.

To recap for those why may be link shy, the VIX has closed 20% below the 10 day SMA on seven days since 1990, which I have grouped into four distinct events (one isolated event and three other events with two separate EOD readings,) as follows:

> 8/15-16/2002
> 12/23/1998
> 3/14-15/1991 (3/13 was 19.9% below)
> 1/21/91 and 1/24/91 (1/18 through 1/25 were all at least 18% below)


The only additions I will make to Adam’s commentary are two graphs that appear in one form or another on these pages on a fairly regular basis: a composite look at all 7 instances, from 5 days prior to 20 days after the -20% reading; and a rather busy graph of each of those 7 instances, color coded by ‘event,’ with the second -20% reading for each event indicated by a dotted line. The graphs, not surprisingly, suggest a possible mean-reverting move over the next 10-20 trading days, but given the small sample size, I would consider their entertainment/voyeuristic value to be higher than any informational value.

21 comments:

Anonymous said...

It hurts to look at that picture!

adam hebrew said...

Such a nice blog post on this topic. Adam Hebrew is a Assignment experts in a leading UK firm. He has completed his Master’s degree in Journalism and Mass Communication from the University of Aberdeen. He has been associated with MyAssignmenthelp.co.uk for over decades for any Assignment help, you can feel free to contact his.

bahis said...
This comment has been removed by the author.
bahis said...

Yurt dışı bahis siteleri her zaman yüksek bonus vererek müşterileri çekme peşinde ancak bu kaçak bahis sitelerinin bazıları insanların paralarını çalabiliyor bu nedenle güvenilir bahis sitesi bulmak önemli bizde sizler için en güvenilir canlı iddaa ve bahis sitelerini tek bir başlık altında topladık daha fazlası için buradaki linki kullanabilirsiniz.

Kelly Mitchell said...

It is true that a synopsis entails an overview of the plot of a story and the characters involved or, if it is a scientific journal, summarizes the processes involved in a study or experiment. Furthermore, you would discuss various elements or other characteristics of the writing such as the setting, genre, style, etc. There is a nice guideline how to write a film synopsis .

DissertationHelp said...


We offer the best dissertation help online
and academic writing service in AUS, UK & USA. Hire native experts now & get FLAT 20% OFF on your first order.
dissertation proofreading services

custom dissertation writing

Best Travel Portal Development said...

Airline Reservation System is the best way to make your travel more popular among the travelers. Team India Web design offers the error-free Airline Reservation System and Airline API integration system to the travel agents at the best price.


Monnika Jacob said...

What's up friends, it's great article about Under the 10 Day SMA and entirely explained, keep it up all the time. Dissertation proposal writing service

MikeVessels said...

Travelportalonline is a leading travel portal development company providing airline reservation system at low cost.

Unknown said...

Its a great blog keep it up.Help to correct grammar errors in a thesis paper

Lillian J. Turner said...

MyBlogger Club

Guest Posting Site

Best Guest Blogging Site

Guest Blogger

Guest Blogging Site

Digitalmarketinginstitutedelhi said...

digital marketing institute in DelhiDigital marketing is the key to hold an in-demand profession.
digital marketing institute

Giggs meat said...

raw chicken DelhiHere at Giggsmeat.com, you can buy online chicken in Delhi from us as we provide fresh chicken home delivery in Delhi, the range of fresh chicken products in our online meat shop has something for almost every recipe. If you are stirring up tikka masala, kievs, casserole, as well as the barbecue, let us serve you to get the precise cut.
raw chicken Delhi

Maradona Jons said...

Nomor rekening tujuan deposit pun tertera pada kolom menu Deposit dan sudah tersedia dengan lengkap. Jika sudah mengisi saldo akun selanjutnya anda tinggal memilih jenis permainan atau pasaran togel yang anda inginkan. Berikut langkah-langkah bagaimana cara bermain dan daftar di winlotre.agent togel pasti bayar dan terpercaya

Online Assignment Help said...

Are you looking for Algebra homework assistance from Australia? Employ our Math tutors to help you solve your algebra issues You will receive instant solutions. We're here to supply you with the top algebra homework assistance. You can save time and money by utilizing online algebra homework assistance for the lowest price.

Anonymous said...

Singapore Trasnlators provide language and document translation services we are ICA certified company and working with 500 + experts members they have 20 years experience and capable to translate your document within 24 hours.

My Assignment Experts said...

We provide the greatest essay writing service in Australia, the United Kingdom, and the United States. Hire local specialists immediately and save a whopping 20% on your first order.

As the necessity of writing essays has grown, students have turned to cheap essay writing services for assistance. Students typically have to prepare various documents, quizzes, and surprise examinations during their college studies. This is the primary reason why most students turn to the internet for essay assistance in Australia, selecting only the most qualified and reputable academic writers. No longer wonder who your essay writing service is.
Online Assignment Experts

Malaysia Translators said...
This comment has been removed by the author.
ireland assignment help said...

At ielandassignments.ie, we pride ourselves on being the best assignment writing service Ireland. Our team of writers is dedicated to helping students succeed, with a focus on quality, affordability, and timely delivery.

My Translation Services said...

Nice blog
Looking for Welsh to English translations? You've come to the right place at Mytranslationservices.com. We offer a comprehensive suite of language solutions, including marketing translation, legal translation, document translation, and transcription services, covering over 200 languages. Our dedicated team ensures accurate and culturally sensitive translations for all your Welsh to English needs. Whether it's business materials, legal documents, or personal content, trust Mytranslationservices.com for precision and professionalism. When it comes to Welsh to English translations, we are your reliable partner. Explore our website today for top-tier language solutions that bridge communication gaps. Your trusted source for Welsh to English translations is Mytranslationservices.com.

Neena07 said...

Nice blog
StudentsAssignmentHelp.co.uk offers reliable Online Business Intelligence Assignment Help services, catering to diverse academic needs. Enhance your academic journey with our proficient Report Writing Help UK, Research Paper Writing Service, and Research Proposal Help. Our comprehensive solutions extend to providing expert guidance for Reward Management Assignments and Sheffield-based assignments, ensuring top-quality results.

DISCLAIMER: "VIX®" is a trademark of Chicago Board Options Exchange, Incorporated. Chicago Board Options Exchange, Incorporated is not affiliated with this website or this website's owner's or operators. CBOE assumes no responsibility for the accuracy or completeness or any other aspect of any content posted on this website by its operator or any third party. All content on this site is provided for informational and entertainment purposes only and is not intended as advice to buy or sell any securities. Stocks are difficult to trade; options are even harder. When it comes to VIX derivatives, don't fall into the trap of thinking that just because you can ride a horse, you can ride an alligator. Please do your own homework and accept full responsibility for any investment decisions you make. No content on this site can be used for commercial purposes without the prior written permission of the author. Copyright © 2007-2023 Bill Luby. All rights reserved.
 
Web Analytics