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market_indicators:volatility_indices [2019/06/24 19:38] 127.0.0.1 external edit |
market_indicators:volatility_indices [2021/02/16 15:54] betseyp [Detrending with the PPO] |
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| {{:market_indicators:volatility_indices:vix-9-detrend.png|Volatility Index - Chart 9}} | {{:market_indicators:volatility_indices:vix-9-detrend.png|Volatility Index - Chart 9}} | ||
| - | The green dotted lines show when the VIX PPO moved back below its bearish extreme (25). As with the VIX, timing can be improved by waiting for a reversal back below 25. Notice how the VIX PPO moved above 25 in September 2008 and remained above 25 for several weeks as the market continued to fall. Turning bullish on the initial move above 25 would have been costly. The red dotted lines show periods of excessive bearishness from September 2006 until January 2009. After the market bottomed in March 2009, the VIX PPO moved below -10 quite often and these excessive bullishness signals did not work during the strong uptrend. | + | The green dotted lines show when the VIX PPO moved back below its bearish extreme (25). As with the VIX, timing can be improved by waiting for a reversal back below 25. Notice how the VIX PPO moved above 25 in September 2008 and remained above 25 for several weeks as the market continued to fall. Turning bullish on the initial move above 25 would have been costly. The red dotted lines show periods of excessive bullishness from September 2006 until January 2009. After the market bottomed in March 2009, the VIX PPO moved below -10 quite often and these excessive bullishness signals did not work during the strong uptrend. |
| ===== Conclusions ===== | ===== Conclusions ===== | ||
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| ===== Symbol List ===== | ===== Symbol List ===== | ||
| - | StockCharts.com users can access [[https://stockcharts.com/search/?q=volatility%20and%20indx§ion=symbols|an up-to-date list of symbols]] for all our Volatility Indices. From this list, click the "Mentions" icon to the right of a specific symbol for more details about the symbol, as well as recent mentions in Public ChartLists, blog articles, and more. | + | StockCharts.com users can access [[https://stockcharts.com/search/?q=volatility%20indx§ion=symbols|an up-to-date list of symbols]] for all our Volatility Indices. From this list, click the "Mentions" icon to the right of a specific symbol for more details about the symbol, as well as recent mentions in Public ChartLists, blog articles, and more. |
| ===== Additional Resources ===== | ===== Additional Resources ===== | ||
| ==== Websites ==== | ==== Websites ==== | ||
| **[[http://www.cboe.com/micro/vix/introduction.aspx#03Method|White Paper on the CBOE Volatility Index]]** - The CBOE detailed the new VIX methodology in a 2003 White Paper that is available at the CBOE website. The link above takes you the VIX page at the CBOE. Be warned: this white paper is very technical stuff. | **[[http://www.cboe.com/micro/vix/introduction.aspx#03Method|White Paper on the CBOE Volatility Index]]** - The CBOE detailed the new VIX methodology in a 2003 White Paper that is available at the CBOE website. The link above takes you the VIX page at the CBOE. Be warned: this white paper is very technical stuff. | ||