[tech-spec] Re: VIX low/high

  • From: "Michael Pomada" <michaelpomada@xxxxxxxxxxx>
  • To: tech-spec@xxxxxxxxxxxxx
  • Date: Wed, 06 Oct 2004 15:17:09 -0700

don't think i'm adding much value at this point, but here's a repeat of my 
test of xday lows & highs for VIX. AVG returns are in SP cash index points 
(SPY). noteably, similar to what VN, WIZ, et al, pointed out long, long ago, 
high YOY VIX (seen in my VIX260max), is significantly bullish... overall, 
according to my test, in the shorter term, vix mins are highly bearish - and 
slightly more so if the market has risen over the past 100 days.

              AVG  StDev COUNT WINpct Zdrft  CHI   Ppct
VIX20minO -0.3281 2.2048   191  53.40 -2.84 0.23  63.02
VIX20maxO  0.1710 4.6798    87  50.57  0.09 0.73  39.24
VIX20min  -0.2858 2.4256   273  54.21 -2.80 0.09  75.91
VIX20max   0.2052 3.4990   206  56.80  0.33 0.23  63.18
VIX50min  -0.0255 2.4914   155  58.71 -0.75 0.80  37.10
VIX50max   0.1817 4.2474   112  56.25  0.14 0.06  81.26
VIX260min -0.3847 1.8979    36  55.56 -1.61 0.00  95.96
VIX260max  2.0476 3.9089    33  75.76  2.82 5.67   1.72

these are top & bottom 6 indications & performance from the VIX20minO test.
info<- function(O) list(head(O),tail(O))
info(vixmin20eqO)

Date    SPClose VIXCloseSpPER
6/15/95 54.13   11.23   1
6/16/95 53.97   10.75   1.05
8/15/95 56.05   12.35   0.08
8/17/95 56.11   12.13   -0.13
8/18/95 56.17   12.03   0.13
8/30/95 56.36   12.03   0.97

Date    SPClose VIXCloseSpPER
3/4/04  115.69  14.4    -3.11
4/2/04  113.78  15.64   0.59
4/5/04  114.64  14.97   0.18
4/16/04 113.83  14.94   0.53
4/22/04 114.25  14.61   -2.42
4/23/04 114.36  14.01   -3.4

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