CALDEIRÃO DE BOLSA

... nao tem necessariamente spikes acima dos 30. O ultimo Bull (2003-07) subiu essencialmente com spikes do VIX nos "low 20".

Agora em Bear, que me recorde, nunca vi nenhum bear market rally sem um spikezito valente acima dos 30.

Dai a importancia do sinal dado ao mercado se o VIX inverter agora, neste terceiro toque do SPX no fundo, sem ir acima dos 30. Isso para mim seria um sinal muito forte de que estamos em Bull. Nessas condicoes seria possivel o cenario que o Nichols previlegia.

Um abraço,
Eagle VIX Eye

era bom nao era, que o spike to VIX, fosse daqueles pequenitos, abaixo dos 30, e tivessemos um (gostei desta expressao) "tradeable bottom"!

a ver vamos!

(bem aparecido!)

The VIX remains low, but we may still be close to the bottom
June 27, 2008 Fri 3:30 PM CT

The markets may be trying to stage a turnaround, but the VIX remains well below levels that historically indicate a bottom.

Putting aside the uncertainties of timing, the seeming contradiction has left some scratching their head.

The VIX, formally the CBOE Volatility Index and often considered Wall Street's "fear guage," provides a reading of the implied volatility of S&P 500 Index options and relative value of the index options. It typically moves in opposition to the SPX because as the index drops, protection through the purchase of options becomes more expensive.

There is more and more talk about the VIX in investing circles, and not all of it is particularly clear or helpful. So when this question came in from one of our subscribers, we thought you should all have a look at Jon’s answer:

“I am an Inside Options subscriber and have a question regarding the backwardation post. My thesis has been that since SPX and Dow have both closed below all major retracement levels that we would need a much higher VIX reading (32-40) to signal a trading bottom. Even in the 1990-91 housing downturn/credit crisis/recession, the last correction was stopped at the 61.8% retracement, yet managed to produce a 36 VIX reading. I have always watched the VIX but must admit have not paid much attention to the contango/backwardation issue. I have noticed that almost all tradable bottoms have had VIX readings in the 30s. Does this backwardation issue ever resolve itself mid-flight with the farther out futures rallying or is this always resolved with a rally of the market. And if so, do you think this will be the final bottom before rallying into the fall? Please help!” - Sincerely,Kevin L.

DRJ replied: “Great question Kevin. If the market did give us a spike VIX into the 30s, I would fully agree with you that this could signal a bottom. I don't know if we see that or not. The March 14th 2007 low for the DJIA (11,926) was matched with a VIX spike, but that spike only went to 21.25. I'm sure Kevin will agree that's a far cry from the 30s, but the DJIA rallied 13,735 in the next 3 months!

In other words what I'm saying is that we don't always get spikes into the 30s. We have had a spike from 16.19 on May 14th to 23.98 yesterday and again today. That's 48 percent pop folks. We may, if HSBC, or Merrill Lynch, or PNC or other stock implodes, get that spike to 30 or more for the VIX. Crude might run through $150, and that might spike the VIX. But with both DJIA and SPX nearing the 20 percent correction from the October highs, and backwardation in the VIX (futures higher in front month than back month), I think we may indeed be very close to that tradeable bottom.”

Backwardation is a topic that we've been discussing at length in the last week or so. It occurs when the front-month VIX futures are higher than the later-month VIX futures. This means the expectation is that the VIX will come back down, which would happen if the SPX starts trending up. Before that turnaround comes, we may get the VIX spike we are looking for. But the spike is not necessary, and my even be less likely because we are all looking for it.

By: Chris Mckhann