VIX:VXV Ratio: First Sell Signal Since August

The VIX:VXV ratio yesterday triggered its first sell signal (for the SPX/SPY) since late August as a result of the VIX falling to the current level of 44.60.

Note that even though the holiday season typically has lower than normal volatility, I do not recalibrate the ratio or the signals to account for seasonal tendencies.

Comments

[punk_ash:]

Dear seekingalpha,

Please stop this meaningless day trade advice. It gives us a head ache. This is not a high frequency trading. VIX can back to 80 and it can also go to 30, someone's got to be right...

2008 Dec 19 02:51 AM

[SJD:]

I couldn't agree more.

2008 Dec 19 10:52 AM

[mycousinearl:]

Some of us actually enjoy reading these articles containing "this meaningless day trade advice." To the author, bravo, keep up the good work! As for the commentors above, what's a matter punk_ash do you lack the skills to cut it in this market? Take a big hit to your portfolio lately? Why don't you take your complaining to another blog where someone might actually give a $hit. And once again bravo to the author for yet another insightful article!

2008 Dec 19 03:26 PM

[granger:]

I enjoy your articles. Keep them coming.

Following volatility measures has saved my a--- this year. Helps me plan whether to sell covered calls or buy protective puts on my portfolio. Getting the most band for my buck.

Again, thanks for your efforts.

2008 Dec 21 03:16 AM

[adAstra:]

> Note that even though the holiday season typically has lower than normal volatility, I do not recalibrate the ratio or the signals to account for seasonal tendencies.

Has it been your past experience that the ratio remains usable despite seasonal tendencies? Or does the utility of the ratio vary throughout the year.

2008 Dec 21 12:31 PM