If I remember correctly, the short version is If $VVIX CLOSES
above 110, it usually leads to a decline in the market. Someone
correct me if I am wrong.
Posted by timebandit on 27th of Sep 2022 at 01:31 pm
That is the signal. But it worked really well in a bull market.
Not sure it translates here because we’re in a bear market, and I
have no experience with it in a bear. I noted it, because it’s the
first time in a long while that the signal has fired. Or will if
it’s over 110 at the close
guys regarding the VVIX and the 110 vomma level - I've discussed
this before many times. The Vomma level is not set - that 110 level
was good for about 1.5 - 2 years. I commented on this in the
past stating that when looking over the history the vomma level
appears to shift - it will settle on level important level for
months to a year or longer, then it will shift to a new level. In
the past I noted that 95 was the level for example - probably
because we are in a bear market, in the bull market 110 was
important. Now maybe it's 90 or something
The 110 was very useful and important for a while, but that went
away early this year and it's now at a new level (I don't know what
that is but obviously much lower than 110. There's probably some
way to calculate this 'Vomma' price level or figure out what the
new Vomma price is, but I don't know how.
a project for one of you guys to look up and figure that
out.
otherwise the VVIX, like the VIX, prices outside the Bollinger
bands are significant and something to watch - it mostly mirrors
the VIX with that aspect, most of the time both the VIX and VVIX
mirror each other exactly by going outside the Bollinger bands and
then back inside. sometimes they differ by 1 day where the VIX or
VVIX goes outside or back inside the bands first, which is
why I monitor both
Posted by timebandit on 27th of Sep 2022 at 02:06 pm
$VVIX is over 116 currently and well over the upper bands
of both the 20,1.5 and 20,2.0 Bollinger Bands. It’s move up since
Friday has been extremely strong: up 25-30% in three days. I would
post a chart but am not at my computer
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$VVIX over 110. Snapshot in
Posted by timebandit on 27th of Sep 2022 at 12:24 pm
$VVIX over 110. Snapshot in time. It's the close that counts
TimeBandit would you please give
Posted by lewiscook on 27th of Sep 2022 at 12:46 pm
TimeBandit would you please give a short explanation of this chart? I've seen Matt use it, but I don't remember the criteria. Thank you
If I remember correctly, the
Posted by mdgfain on 27th of Sep 2022 at 12:49 pm
If I remember correctly, the short version is If $VVIX CLOSES above 110, it usually leads to a decline in the market. Someone correct me if I am wrong.
That is the signal. But
Posted by timebandit on 27th of Sep 2022 at 01:31 pm
That is the signal. But it worked really well in a bull market. Not sure it translates here because we’re in a bear market, and I have no experience with it in a bear. I noted it, because it’s the first time in a long while that the signal has fired. Or will if it’s over 110 at the close
That said, Steve’s advice is best: focus on price
guys regarding the VVIX and
Posted by matt on 27th of Sep 2022 at 01:36 pm
guys regarding the VVIX and the 110 vomma level - I've discussed this before many times. The Vomma level is not set - that 110 level was good for about 1.5 - 2 years. I commented on this in the past stating that when looking over the history the vomma level appears to shift - it will settle on level important level for months to a year or longer, then it will shift to a new level. In the past I noted that 95 was the level for example - probably because we are in a bear market, in the bull market 110 was important. Now maybe it's 90 or something
The 110 was very useful and important for a while, but that went away early this year and it's now at a new level (I don't know what that is but obviously much lower than 110. There's probably some way to calculate this 'Vomma' price level or figure out what the new Vomma price is, but I don't know how.
a project for one of you guys to look up and figure that out.
otherwise the VVIX, like the VIX, prices outside the Bollinger bands are significant and something to watch - it mostly mirrors the VIX with that aspect, most of the time both the VIX and VVIX mirror each other exactly by going outside the Bollinger bands and then back inside. sometimes they differ by 1 day where the VIX or VVIX goes outside or back inside the bands first, which is why I monitor both
$VVIX is over 116 currently
Posted by timebandit on 27th of Sep 2022 at 02:06 pm
$VVIX is over 116 currently and well over the upper bands of both the 20,1.5 and 20,2.0 Bollinger Bands. It’s move up since Friday has been extremely strong: up 25-30% in three days. I would post a chart but am not at my computer