Comments on: VIX surges 20% as fear returns … http://www.tradingtheodds.com/2010/02/vix-surges-20-as-fear-returns/ A quantitative approach to profit in the US equity and futures markets, trading the markets like professional card counters are playing Blackjack or expert poker players are playing Poker. The key is to have the odds on your side and bet accordingly, knowing what, when, where, why and how much to bet on each trade or wager. Mon, 06 Feb 2012 13:40:20 +0000 hourly 1 http://wordpress.org/?v=3.3.1 By: ETF Rewind Pro – 02.04.10 http://www.tradingtheodds.com/2010/02/vix-surges-20-as-fear-returns/#comment-4808 ETF Rewind Pro – 02.04.10 Thu, 19 May 2011 17:16:43 +0000 http://www.tradingtheodds.com/?p=31461#comment-4808 [...] Trading the Odds – VIX Surge Bounce Odds [...] [...] Trading the Odds – VIX Surge Bounce Odds [...]

]]> By: S&P500 and VIX Consensus at Extremes | Financial engineering resource center http://www.tradingtheodds.com/2010/02/vix-surges-20-as-fear-returns/#comment-4200 S&P500 and VIX Consensus at Extremes | Financial engineering resource center Sat, 06 Feb 2010 13:37:31 +0000 http://www.tradingtheodds.com/?p=31461#comment-4200 [...] catching up on my nightly reading I noticed the following post by Frank of Trading the Odds: http://www.tradingtheodds.com/2010/02/vix-surges-20-as-fear-returns/  In this post, Frank presents his standard approach to measuring the edge of a given setup. He [...] [...] catching up on my nightly reading I noticed the following post by Frank of Trading the Odds: http://www.tradingtheodds.com/2010/02/vix-surges-20-as-fear-returns/  In this post, Frank presents his standard approach to measuring the edge of a given setup. He [...]

]]> By: TradingTheOdds http://www.tradingtheodds.com/2010/02/vix-surges-20-as-fear-returns/#comment-4199 TradingTheOdds Sat, 06 Feb 2010 05:25:30 +0000 http://www.tradingtheodds.com/?p=31461#comment-4199 Bill, why 'remain' SHORT today (Friday's position was LONG) ? A recovery day regularly does not show a positive follow-through on the then following day. When the SPY posted an intraday low at least -1.75% below the previous session's low (Friday's low was -1.7475%) but closed positive on the day, the SPY closed lower next day on 28, but higher on only 13 out of a total of 41 occurrences since 1990 (w/ median trade of -0.79%). Out of those 41 occurrences, the SPY posted at least one lower close than the trigger day's close (Friday's close) on 39 out of 41 occurrences (95.12%) occurrences, significantly higher than the at-any-time probability of 71.44% for at least one lower close over the course of the then following five sessions. So sellers will probably take the upper hand again eventually during the next week. Best, Frank Bill,

why ‘remain’ SHORT today (Friday’s position was LONG) ?

A recovery day regularly does not show a positive follow-through on the then following day. When the SPY posted an intraday low at least -1.75% below the previous session’s low (Friday’s low was -1.7475%) but closed positive on the day, the SPY closed lower next day on 28, but higher on only 13 out of a total of 41 occurrences since 1990 (w/ median trade of -0.79%). Out of those 41 occurrences, the SPY posted at least one lower close than the trigger day’s close (Friday’s close) on 39 out of 41 occurrences (95.12%) occurrences, significantly higher than the at-any-time probability of 71.44% for at least one lower close over the course of the then following five sessions.

So sellers will probably take the upper hand again eventually during the next week.

Best,
Frank

]]> By: CarlosR http://www.tradingtheodds.com/2010/02/vix-surges-20-as-fear-returns/#comment-4198 CarlosR Sat, 06 Feb 2010 04:19:54 +0000 http://www.tradingtheodds.com/?p=31461#comment-4198 Frank, Congratulations on another great call regarding the last hour! That was so spot-on that it was almost spooky... I noticed the ES futures started rising about 1 minute into that last hour. Doesn't get any better than that! Thanks for all your hard work. Frank,

Congratulations on another great call regarding the last hour!

That was so spot-on that it was almost spooky… I noticed the ES futures started rising about 1 minute into that last hour. Doesn’t get any better than that!

Thanks for all your hard work.

]]> By: Bill http://www.tradingtheodds.com/2010/02/vix-surges-20-as-fear-returns/#comment-4197 Bill Sat, 06 Feb 2010 01:40:23 +0000 http://www.tradingtheodds.com/?p=31461#comment-4197 Hi Frank, What prompted you too remain shot today, looking at the huge recovery we had from intraday low didn't it change you inclination to go long. thanks for your work Bill Hi Frank,

What prompted you too remain shot today, looking at the huge recovery we had from intraday low didn’t it change you inclination to go long.

thanks for your work

Bill

]]> By: Le news di oggi - Pagina 11 - I Forum di Investireoggi http://www.tradingtheodds.com/2010/02/vix-surges-20-as-fear-returns/#comment-4196 Le news di oggi - Pagina 11 - I Forum di Investireoggi Fri, 05 Feb 2010 13:48:53 +0000 http://www.tradingtheodds.com/?p=31461#comment-4196 [...] VIX surges 20% as fear returns … - TRADING THE ODDS __________________ The real secret of stock market success still remains (and probably will remain) locked up in the bosoms of a few who are too busy to write, and too rich to feel the need of writing Henry Howard Harper: The Psychology of Speculation http://opinionidalmondo.investireoggi.it/ [...] [...] VIX surges 20% as fear returns … – TRADING THE ODDS __________________ The real secret of stock market success still remains (and probably will remain) locked up in the bosoms of a few who are too busy to write, and too rich to feel the need of writing Henry Howard Harper: The Psychology of Speculation http://opinionidalmondo.investireoggi.it/ [...]

]]> By: S&P500 and VIX Consensus at Extremes « CSS Analytics http://www.tradingtheodds.com/2010/02/vix-surges-20-as-fear-returns/#comment-4195 S&P500 and VIX Consensus at Extremes « CSS Analytics Fri, 05 Feb 2010 06:27:29 +0000 http://www.tradingtheodds.com/?p=31461#comment-4195 [...] While catching up on my nightly reading I noticed the following post by Frank of Trading the Odds: http://www.tradingtheodds.com/2010/02/vix-surges-20-as-fear-returns/  In this post, Frank presents his [...] [...] While catching up on my nightly reading I noticed the following post by Frank of Trading the Odds: http://www.tradingtheodds.com/2010/02/vix-surges-20-as-fear-returns/  In this post, Frank presents his [...]

]]> By: TradingTheOdds http://www.tradingtheodds.com/2010/02/vix-surges-20-as-fear-returns/#comment-4194 TradingTheOdds Fri, 05 Feb 2010 05:15:47 +0000 http://www.tradingtheodds.com/?p=31461#comment-4194 Predatorsetup, thanks for pointing this out. If two contradictory setups are triggered (like the short-term mean reversion VIX > +20% and a trend-following pre-BLS release down move), the market model -if in doubt- would regularly take the short side of the market (due to the fact that not ALL necessary buy setups are triggered), but there are some setups (like the VIX > +20% setup) which have absolutley priority, or the otherway around: historically especially the odds (going again a positive profit factor of >+5, and no potential gain > +0.51% on the short side out of the last 32 occurrences) would -under no circumstances- favor taking a short position. Best, Frank Predatorsetup,

thanks for pointing this out.

If two contradictory setups are triggered (like the short-term mean reversion VIX > +20% and a trend-following pre-BLS release down move), the market model -if in doubt- would regularly take the short side of the market (due to the fact that not ALL necessary buy setups are triggered), but there are some setups (like the VIX > +20% setup) which have absolutley priority, or the otherway around: historically especially the odds (going again a positive profit factor of >+5, and no potential gain > +0.51% on the short side out of the last 32 occurrences) would -under no circumstances- favor taking a short position.

Best,
Frank

]]> By: Phantasmix Stock Blog » Blog Archive » $$ VIX Up 20% = Up Day Tomorrow http://www.tradingtheodds.com/2010/02/vix-surges-20-as-fear-returns/#comment-4193 Phantasmix Stock Blog » Blog Archive » $$ VIX Up 20% = Up Day Tomorrow Fri, 05 Feb 2010 03:58:24 +0000 http://www.tradingtheodds.com/?p=31461#comment-4193 [...] Source and more info: Trading the Odds [...] [...] Source and more info: Trading the Odds [...]

]]> By: Predatorsetup http://www.tradingtheodds.com/2010/02/vix-surges-20-as-fear-returns/#comment-4192 Predatorsetup Fri, 05 Feb 2010 00:48:20 +0000 http://www.tradingtheodds.com/?p=31461#comment-4192 Hi Frank, tomorrow is BLS day and today ES1 closed down, in a previous post you highlighted the short term trend following of this setup...how would you choose the main pattern? today´s post or the previous one? Thanks in advance, Predator Hi Frank,

tomorrow is BLS day and today ES1 closed down, in a previous post you highlighted the short term trend following of this setup…how would you choose the main pattern? today´s post or the previous one?

Thanks in advance,

Predator

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