Upside Warning canceled

#VIXIndicator Based on the indicator, the upside warning just got canceled by the Flynn spike. However, two things to note: the VIX low from last Friday seemed to be an odd tick, but that low is the reason the Indicator cancels the warning. Second, this volatility could be only violent spiking due to the sudden breaking news. A better determination can be made in a couple hours.

Upside Warning update

#VIXIndicator Checking in on the progress of this upside warning, referencing my post from the weekend:

https://optionsbistro.com/2017/11/25/upside-warning-in-effect-2/

The predicted HOD’s, based on the average of all highs from past Upside Warnings, measuring from the close on the warnings day (which in the current case was Friday, 11/24):

Mon, Nov 27 Predicted: 0.44% 2,613.87 Actual: +0.15% 2,606.41
Tue, Nov 28 Predicted: 0.46% 2,614.42 Actual: +0.73% 2621.31 (thus far)

So we fell short yesterday, but have gone over today. Of the 4 occurrences this happened before (mild rally first day of Warning, strong rally on second), the averages are:
Day 1 +0.78%
Day 2 +1.43%
Day 3 +1.76%
Day 4 +2.15%
…and then levels off for a few days. Not enough data to make conclusions there, but fun to look at anyway.

Upside Warning in effect

#VIXIndicator. Once again, the dip was quickly bought and a new Upside Warning went into effect on Friday. The VIX also notched an all-time low; if the CBOE does not correct it as a glitch. The VIX was wavering around 9.60 on Friday at the closing bell, and then briefly dipped down to tag 8.56, which is it’s lowest reading ever. It quickly jumped back to close at 9.67. So it may have been a bad tick, but if not corrected it is the new record low.

An Upside Warning is a reliable signal of a rally higher. Since Jan 1, 2000 (HOD=high of day)
31 upside warnings
25 times the HOD on 5th day was above the close of the Warning day
21 times the HOD on the 10th day was above the close of the Warning day
21 times the HOD was over 1% higher on any day within the first 10 days after the Warning
18 times the HOD was over 2% higher on any day within the first 20 days after the Warning

Looking at the highs of the day from all 31 occurrences, here are the expected moves UP from the close on Friday (2602.42).

Mon, Nov 27 0.44% 2,613.87
Tue, Nov 28 0.46% 2,614.42
Wed, Nov 29 0.48% 2,614.85
Thu, Nov 30 0.46% 2,614.29
Fri, Dec 1 0.59% 2,617.71
Sat, Dec 2 0.56% 2,616.98
Sun, Dec 3 0.77% 2,622.40
Mon, Dec 4 0.92% 2,626.44
Tue, Dec 5 0.89% 2,625.65
Wed, Dec 6 1.02% 2,628.99

These are averages, so the actual move will tend to be sharper or more gradual.

Killing downside warning

#SPXcampaign #VIXIndicator It’s becoming clear that Downside Warning needs to be scrapped. I’m taking it off the site and will determine a new strategy. The trigger will remain only as a set up for the eventual Upside Warning, which has been working like a charm.

DOWNside Warning in effect

#VIXIndicator

Upside Warning canceled

#VIXIndicator The Upside warning that started on Sept 22nd was finally canceled at the open today, as the VIX is now over 50% higher than its low on Nov 3rd. This constitutes a signal for the downside. A full downside warning will happen if we reach 14.38 today.

VIX going up

#VIXindicator The VIX is trending up again. Closes at or beyond the upper or lower Bollinger bands often signal a reversal is imminent. On the last uptrend in late October we closed 4 days at or just outside the upper BB, then reversed. On the current uptrend, we haven’t closed that high yet, which suggests the VIX uptrend may continue, meaning more volatility in the coming week.

Screen Shot 2017-11-12 at 9.09.16 AM