thanks a lot, and I made the respective corrections at least on the most recent postings.

Best,
Frank

Thanks again for your blog, it’s very valuable and enlightening.

I have one *extremely* small nit to mention: the correct spelling of the word is “losing”, not loosing. The only reason I mention this is because you (naturally) wind up using this word in almost every post you make, so you might as well spell it right.

I think you may have mentioned that English wasn’t your primary language, but honestly, your English is better than that of many native-born English speakers I know!

Keep up the good work!

thanks a lot, and of course you’re absolutely correct (I posted an analysis concerning the VIX Weekday’S Seasonalities’ a few weeks ago). I just postend a follow-up this time utilizing VIX front month futures as well in order to evaluate if the bullish bias on the VIX over long weekends would possibly provide any tradable edge.

best,
Frank

A couple things.

The VIX holiday bias can go on at least week, knocking it down a bit before a holiday and then giving the illusion of a lift after. To me, that’s a lot of what’s going on. Not all however , some of the dip is real.

And like you say, you can’t *buy* the VIX, only the futures or ETN’s. They haven’t existed for the 19 years you look at, and I imagine if they did, the VIX future or ETN would not have dropped that frequently.

Now I’m being nitpicky, I love your site, your stats work is fantastic, just wanted to note VIX is quirky around holiday’s.

thanks, and indeed, it has (see my reply to Steffen’s comment above), but Memorial Day shows -by a wide margin- the highest probability for a higher close the following session(s) of all exchange holidays and -by a wide margin- the highest hypothetical profit factor (magnitude of the VIX’ change on the upside the then following sessions).

Best,
Frank