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Evil Science Theater 4000
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Evil Science Theater 4000

by The MoleJuly 20, 2017

We have a small cause for celebration today as this will officially be post #4000 here on Evil Speculator. Which incidentally was launched all the way back in early August of 2008 – almost exactly nine years ago. It was a time of wonder back then and electricity had just been invented a few months earlier. I still remember having to take an Uber horse buggy to the evil lair in the morning, on muddy unpaved roads seamed with beggars and packs of rabid wild dogs. Trading was done by telegraph in encrypted morse code and our favorite way of shorting commodity futures was by arson of a hapless local grain farmer. Those were the days! Quite a few of you regulars from back when are still here to this very day, and all I can say is this: Boy have we learned a lot, and how the heck did we even manage to survive all that drama? 

By doing what we do best – beg, borrow, steal, and never ever trade against the Fed. Well, I promised to make this a special post which probably means it’ll suck completely, but let me give this my best shot. Plus as this is a special occasion I’ll make it all available for free – so you leeches can rejoice. You may however consider getting off the fence and signing up for either Gold or the Zero so that we’ll be able to celebrate 10 glorious years 12 months from now.

As you know volatility – both realized and implied, has been one of my obsessions over the past few years. Something you keep hearing over and over again is how the VIX is mean reverting and if you look at a regular chart then it’s easy to swallow that pill.

Well, allow me to disagree, and unlike many I’ll back up my claims with actual data. First up let’s define what we mean by ‘mean reverting’ – basically we are testing for stationarity and we’ll be doing this via the Augmented Dickey Fuller (ADF) test. This tests the null hypothesis that demand follows a unit root process. You usually reject the null when the p-value is less than or equal to a specified significance level, often 0.05 (5%), or 0.01 (1%) and even 0.1 (10%). Now what’s important to note is that a) you define your test threshold ahead of time (in most cases it’s 5%) and that b) that the p-value is interpreted as a binary value. Either it is < 0.5 (high confidence of mean reversion) or it is not (no confidence of mean reversion). And that means a p-value of 0.51 would still mean we do not accept the null hypothesis.

Anyway, enough of the math babble, let’s run this sucker, I’m going to test 10 years of the VIX as well as 10 years of the VXV, then I’m going to test a ratio of the two. Let’s start with a threshold of 0.1:

p-value = 0.0324767618187 – The series VIX is likely non-stationary.
p-value = 0.103166277707 – The series VXV is likely non-stationary.
p-value = 6.34799786578e-06 – The series VIX/VXV is likely stationary.
p-value = 3.37882429904e-29 – The series VIX/VXV % Change is likely stationary.

And there you have it, given 10 years of daily VIX data, it turns out that according to the ADF, both the VIX and the VXV are not stationary and most likely only median reverting and otherwise following a subtle random walk. However it turns out that the raw VIX/VXV as well as its % change series has a 95% chance of being stationary. Now let’s run the same test with a 0.5% threshold, which to my understanding is considered acceptable for a financial series:

p-value = 0.0321613338723 – The series VIX is likely stationary.
p-value = 0.103166277707 – The series VXV is likely non-stationary.
p-value = 5.73166440286e-06 – The series VIX/VXV is likely stationary.
p-value = 3.2970819598e-29 – The series VIX/VXV % Change is likely stationary.

The VXV is still non-stationary apparently but the VIX apparently does satisfy the zero hypothesis with a confidence level of 95%. What does all that mean for us?

2017-07-20_VIX-VXV_deviations

It means that mean reversion strategies should not just focus on the VIX on its own but its relationship to the VXV as, according to the ADF, it is considered stationary at a 99% confidence level. Above I produced a plot of the VIX:VXV ratio as it gyrates around its actual mean, which is around 0.91 over the past 10 years. We could obviously use a smaller or wider window but I think the mean wouldn’t shift by much. I also added thresholds at plus and minus one standard deviation. As you can see there are quite a few long and short VIX entry opportunities (or long SPX or the SPY) with several long entry opportunities as well. The latter however would be a lot more difficult over the past year and we probably would have to push out another standard deviation.

2017-07-20_cumulative_deltas_VIX_VXV

Here we are looking at the cumulative of the same ratio’s delta from the mean. Basically deduct the mean from the actual value and then add up the result. Due to the current mean we are starting and ending at the zero mark, but this basically shows us the net aggregate of investor sentiment over the past decade. Draw your own conclusions – I know I will 😉

2017-07-20_VIX_VXV_thresholds

The thresholds I am using on my old manual chart are mostly done by observation but seem to match the calculated standard deviations pretty well. One of my epiphanies on this chart was that breaches above the mean (which again I nailed almost perfectly – hum hum) seem to be the ones which precede medium term corrections. As you can see we are still light years away from any of that.

2017-07-20_VIX_VXV

This view of the VIX:VXV ratio shows us reversal periods via two stacked Bollinger bands I slapped on it. You basically look for a signal push > the lower 2.0 BB for a long entry and a signal drop < the upper 1.0 for a short entry. Unfortunately stockcharts doesn’t allow me to hide the superfluous lines. Anyway, apparently the long entries are pure gold and the short entries are so-so – not surprising as we’re in a raging bull market. I expect this situation to reverse one day when equities embark on a long needed corrective phase.

2017-07-20_VIX_LT

Now here’s the VIX again all on its own on a regular chart plotted on top of the SPX for context. The red ranges show us when it was scraping the bottom of the barrel and when buying yourself some long term protection against six sigma events was available at a discount. If you’re holding equities right now then this is a good time to grab a handful of long term puts and simply forget about them – cost of doing business and tantamount to bringing an oxygen mask when climbing Mount Everest.

2017-07-20_VIX_easy_rides

The VIX ‘Easy Rides’ chart shows us in a cyan period and that means pretty much anything can happen on a short term basis, but medium or long term don’t even try to short this bull market.

2017-07-20_VXV_SKEW

The notorious CBOE SKEW ratio is pretty useless on its own but the SKEW vs. the VXV has been manna from heaven when it comes to calling long reversals. Short reversals again – not so great and if they happen they usually come weeks later, so timing entries requires other measures and I usually just look at price near important inflection points. As you can see recent breaches of the lower BB have not led to meaningful corrections in equities. We’re most likely going to get another one soon but that doesn’t mean the market is about to turn on a dime.

2017-07-20_SKEW_VIX

Of course I also had to chart the SKEW vs. VIX and once again the smart money bets on market bottoms.

2017-07-20_breadth_SPX

Finally we’ll be wrapping things up with market breadth courtesy of the SPX50 vs. the SPX200 (the R is the % change version). And once again we are nowhere near bearish territory and if you any plans to short this market then I humbly suggest you keep your powder dry for now and wait for further instructions.

Public Service Announcement

It’s summer and this post took me quite a while to put together while everyone I know here in Spain is out and about enjoying a beautiful summer.

playa_spain

My poor wife is probably online right now browsing for divorce attorneys so I’ll better be taking Friday off and do my best to talk her out of it. All services will run as usual tomorrow – see you all bright eyed and bushy tailed Monday morning!


About The Author
The Mole
Mole created Evil Speculator amidst the chaos of the financial crisis in early August of 2008. His vision for Evil Speculator is a refuge of reason, hands-on trading knowledge, and inspiration for traders of all ages and stripes. You can follow him and his nefarious schemes at various social media waterholes below.
  • OJuice

    Enjoy the long weekend.

  • Ronebadger

    Good stuff, Mole. Keep it up! Thanks!

  • http://gerb-reloaded.blogspot.com/ Gold_Gerb

    4000 is a tremendous amount. Congratulations on such an Achievement.

    Uber Buggy, that’s funny…wait a minute.
    http://www.twcnews.com/tx/austin/news/2015/11/6/uber-offers-horse-and-buggy-rides-to-protest-potential-regulations.html

    A lengthy post, will read later.
    -GG

  • Wave_surfer

    Thanks for your hard work Mole! I appreciate it! Good stuff! Enjoy some deserved rest with your wife!

  • http://batman-news.com RacerXX

    Congrats Mole! Those were certainly the monks on a roller-coaster era. https://uploads.disquscdn.com/images/a9464d806c32763bd9d16f1feb22e409c48175330b97422dac49c09639bf1bec.jpg

  • http://gerb-reloaded.blogspot.com/ Gold_Gerb

    I was at 6 flags last week, you should have seen the stains on the backside.
    J/K.
    😉

  • http://gerb-reloaded.blogspot.com/ Gold_Gerb

    Julie’s going to bury us in charts.

    Until then, WTH – I’ll throw one up. (pun intended)

    [XLE]
    https://uploads.disquscdn.com/images/5dcc5d1f493321debb24c9a0ac2df98554ce4518ba85ca5d580a20eb95cab0cf.png

  • BTrader

    Congratulations…my favorite place on the trading web that is not even close to be recognized for being the best!

  • Mark Shinnick

    Miners gone psychotic range, usually a prelude. Flat for time being.

  • Julie

    Thanks Mole I was always looking for a better mousetrap with the $SKEW. The ratio you posted…. Yeah ! Good one Chief !
    JULIE

  • http://evilspeculator.com Sir Mole III

    Thanks – get the word out!

  • http://gerb-reloaded.blogspot.com/ Gold_Gerb

    what timeframe? I’m not seeing it. sub 1% currently.

    http://stockcharts.com/h-sc/ui?s=GDX&p=D&yr=0&mn=6&dy=0&id=p49308111492

  • Julie

    I second that B Trader
    JULIE

  • Julie

    MARK — CYTR Strong support 0.60 Must get above the 21 baseline at 0.63
    JULIE https://uploads.disquscdn.com/images/388e24e3dd6a3e4b06a0500429c7358bb827220481eb844f07803d8b2bcd308f.jpg

  • Mark Shinnick

    Within a number of different timeframes the story of a no clear edge washout appears similar. Its just the same general inflection still going on; significant but so indeterminate.

  • Yoda

    Congrats Mole. What an outstanding performance!!!

  • Julie

    SPX a throwover and a break below the trend line and a bearish close below the daily 5 ema ….. I am drooling
    JULIE https://uploads.disquscdn.com/images/f819d5a96a4650bac583480a190abdf102bde5ccbc42f9e670ee213b9e62c898.jpg

  • Ag Coyote

    Fully rigged since 2009. My analysis is quicker.

  • Ronebadger

    Your avatar is drooling as well…

  • Wave_surfer

    Based on your previous work, I created the following chart several years ago (2012? 2013?)
    The chart that I have has a slower MA and I reversed the ratio so that peaks and valleys align with SPX. I have kept it for several years because it seems to work well for a longer term look at things.
    Thanks again for your work.
    http://stockcharts.com/h-sc/ui?s=%24VXV%3A%24VIX&p=D&yr=5&mn=10&dy=0&id=p17663195558&a=305260385

  • Ronebadger
  • Julie

    On a previous trhread I stated to watch UNP as it was triangulating and to watch for a possible breakdown . I missed it ! LOL ! Perhaps nail a dead cat bounce. Can’t catch em all ! LOL ! https://uploads.disquscdn.com/images/cd6bc11408eb8d1938a00e26115684253aba384620d92bf844c5c0eb743870bf.jpg

  • Mark Shinnick

    Nice data there….see what happens :)

  • Mark Shinnick

    Yes, subjugated by bank Colossus.

  • OJuice

    If /HG can clear $2.72 here it’ll be set-up nice for a potential rip over 2.75+

  • ridingwaves

    Congratulations Mole! Blogs come and go but your hangout just keeps on churning via your time and effort. A great achievement! Because of your durability and radical maneuvers we have named a surf spot for you in Central Calif. Suffice to say it’s a bit too sharky for my taste but that means its less crowded :)
    http://www.surfline.com/surf-report/mole-point-central-california_6007/

  • Tomcat

    I am betting it cant, but odds appear to favor your direction…

  • http://gerb-reloaded.blogspot.com/ Gold_Gerb

    if you had watched the trade, then it would not have happened.
    think about that one.

    Schrodingers Cat
    http://imgsrc.allposters.com/img/print/posters/snorg-tees-schrodinger-s-cat_a-G-9317635-0.jpg

  • OJuice

    It’s on the knife edge I think. 50/50.

  • Ag Coyote

    Very interesting VIX analysis. It will take me a while to chew on that. I have VXX calls, Aug 14, that I was lucky to roll over from July. These may not hit big till October.

  • Julie

    Ladies Pro Golf New dress code Male viewership will plummet ! Oh Well …. Still Ladies beach volleyball for you guys. Lol !
    JULIE

  • Tomcat

    Looks more like 51/49 to be honest 😉

  • Mary

    VXX doesn’t track VIX. Have you ever looked at a weekly VXX chart?

  • Ag Coyote

    The “Nightmare Scenario”: Quantifying The Damage From A Sudden VIX Spike

    http://www.zerohedge.com/news/2017-07-20/nightmare-scenario-quantifying-damage-sudden-vix-spike

  • Tomcat

    Is anyone familiar with an upcoming OPEC meeting?

  • ridingwaves
  • Tomcat

    I was looking for some insight/info regarding timing/place (Monday/Russia) but this gif was good for a quick laugh. Now back to figuring out how to make coin.

  • ridingwaves
  • http://gerb-reloaded.blogspot.com/ Gold_Gerb

    not surprised.
    maybe you should drop a letter to Roberta & Karen. {GG Ducks}
    https://uploads.disquscdn.com/images/e38cb5e25412e4c2054ac7e2f9d4b754f7a9da5efa6fa1db7830785142a8eb78.png

  • http://gerb-reloaded.blogspot.com/ Gold_Gerb

    Sweet! (a little oil pun)

  • BKXtoZERO

    Mole, Congrats on your 9 years. Thanks for pounding “some” sense into me (you and Scott). Great posts. I’ve been reading………

  • Tomcat

    Already reviewed that link, but there is one next week according to CNBC:
    http://www.cnbc.com/2017/07/19/oil-stable-after-large-fall-in-us-fuel-stocks-but-markets-remain-bloated.html

  • ridingwaves

    Michelle Wie could have a direct affect on my marital status if she comes a courting…

  • http://gerb-reloaded.blogspot.com/ Gold_Gerb
  • ridingwaves

    its non opec oil countries and opec discussing production cut compliance….
    meeting is on the 24th…

  • Tomcat

    Exactly, will most likely close most of my position by tmw.

  • ridingwaves

    beautiful colors in the background…..

  • ridingwaves

    Keeping my eye on possible double top in XBI-IBB but both are extremely bullish

  • http://evilspeculator.com Sir Mole III

    I prefer the options actually and it doesn’t pay to hold VXX on a long term basis as you’re facing headwind in the form of contango.

  • http://evilspeculator.com Sir Mole III

    LMAO

  • http://evilspeculator.com Sir Mole III

    Nope, I don’t think so. People have pulled this shit for over a decade now – it never plays out and if it does it’s coincidence. Don’t fall for piker retail analysis like that.

  • http://evilspeculator.com Sir Mole III

    SKEW on its own is absolutely useless – I posted about this on several occasions over the past few years.

  • http://evilspeculator.com Sir Mole III

    Better keep up!

  • OJuice

    “Piker” is so underutilized.

  • Tomcat

    Its all about the healthcare bill as you know. If it fails, well you can guess what will happen.

  • Julie

    SPX negative divergence 60 min MACD 5,34,5. Want a bearish candle closing below 60 min ichimoku 8 conversion line and or 8 ema alomg with a MACD negative crossover of it’s signal line. Almost there and will short when it occurs
    JULIE https://uploads.disquscdn.com/images/641eefa27a66c08d9f3e995c55fbb0e801cc61bf8eccc72cd4501f56824676f6.jpg

  • Julie

    SPX 60 min chart
    JULIE

  • http://gerb-reloaded.blogspot.com/ Gold_Gerb

    Chester’s Dead? I liked his music Too much angst is a bad thing.
    Especially in L.A.

  • http://gerb-reloaded.blogspot.com/ Gold_Gerb

    Long clubs.

  • Mark Shinnick

    Jeezzzz….4000…. Roughly….about 10 times the characters and spaces of War and Peace.

  • Mark Shinnick

    Here’s to you Mole, Congratulations. Thanks for all the special attention on volatility.
    https://youtu.be/LjNcUZuP6ro

  • Acquired Assets

    Next scheduled drop commences today, although we won’t get cooking until next week due to OPEX. The tell was the nonsensical Dollar reaction to Yellen and then the nonsensical Euro reaction to Draghi. They are giving the Fed room to be hawkish – and they have to protect the dollar here

  • Acquired Assets

    I see a 3 wave move to 2400, bounce and then 2350

  • Mark Shinnick
  • Mark Shinnick

    Who’s schedule?

  • Acquired Assets

    Citadel, Black Rock, etc. You know the guys that actually control the market

  • Mark Shinnick

    Here’s what Blockrock is saying more broadly:
    “We see low market volatility as a normal feature of the benign economic backdrop — and not as a warning sign in itself. Taken together, this could mean equities are cheaper than they look — and investors may run the risk of being under-risked.”
    https://www.blackrock.com/investing/insights/blackrock-investment-institute/outlook

  • Tomcat

    Covering $CL here. To avoid any whipsaw from the meeting monday.

  • Acquired Assets

    Oh, I know what they are saying publically. I do expect us to end the year much higher from here

  • Mark Shinnick

    Mole…some Weimar postings removed….don’t keep me in the dark.

  • http://gerb-reloaded.blogspot.com/ Gold_Gerb

    Friday. (no edge)

  • http://gerb-reloaded.blogspot.com/ Gold_Gerb
  • Mark Shinnick

    Its a odd sort of value investing where only a % or 2 is a bargain buy. In all recent cases, “I choose the Matrix.”

  • Julie

    Covered 1/2 CAT short as it came down to 21 baseline ichimoku cloud, Moved remaining CAT position to breakeven USO is a short with a bearish close below 9.54 tofay.Everyone Have A Great Weekend
    JULIE

  • http://gerb-reloaded.blogspot.com/ Gold_Gerb

    speaking of value, Can I interest you in some Autozone?

    Bwaha-ha-ha-ha.
    http://stockcharts.com/h-sc/ui?s=AZO&p=W&yr=3&mn=0&dy=0&id=p23624441648

  • Julie

    Hi GG BAC having trouble with the 21 baseline. triangulating intraday charts. Today a close below 23.92 then high probability of going down to 89 ema — upper boundary of cloud — lower bol band.
    JULIE https://uploads.disquscdn.com/images/0adab5929762e209ff87cd4a70744405d117a0eeee436e474d4c82cbeca34f13.jpg

  • Julie

    Mistake not Bol Band but Keltner channel
    JULIE

  • Julie

    Weird situation this morning i.e. RUT spiked up while IWM gapped down. Then RUT spike back down and IWM bounced back up. ONLY IN AMERICA AND WALL ST LOL !
    JULIE

  • Mark Shinnick

    Yeah, auto sales situ usually predicts for aftermarket support….but cars have evolved into low-maintence / dealer-only maintainable high tech.

  • evilasevildoes

    tell you rwife you love her and reward her kind patience

  • Mark Shinnick

    Yes, this is why I’m souring on some of these leveraged volatility instruments; they offer a false promise, a unobtanium, a double-standard always practically favoring selling volatility.
    They have their place…but the retail participant is highly prejudiced against.

    “In 2012, for example, the price of TVIX ETN fell 60% in two days, despite relatively benign trading conditions elsewhere in the market. The reason was that the promoter of the volatility-linked note announced that it temporarily suspended further issuances of the ETN due to “internal limits” reached on the size of the ETNs.”

  • Mark Shinnick

    What feels most rewarding?

  • Mark Shinnick

    Yeah Dorothy, Kansas is gone bye-bye.

  • http://gerb-reloaded.blogspot.com/ Gold_Gerb
  • ridingwaves

    if I took my wife to that beach, I would have 100,000 points on my reward card….

  • http://gerb-reloaded.blogspot.com/ Gold_Gerb

    you may be correct. I’m not convinced.
    Volume has been dropping. AND MACD histogram is neutral.
    😉

  • Julie

    GG The above mentioned targets will be a MACD centerline test. Also the cloud boundaries act as a magnet ( ichimoku cloud principal ) Hey GG thanks for your comments and ideas. Always appreciated and you Have A Great Weekend ! May enter a short position EOD SPX ( probe ) and add below the daily 5 ema. Monday’s following OPEX are usually down
    JULIE

  • Mark Shinnick

    Yeah…but my dino-non-matrixed brain still figures only up to a certain point…
    https://youtu.be/YMxTEZ7JizI

  • ridingwaves

    This disturbs me to the core of my soul…..
    https://www.yahoo.com/news/apos-oh-just-died-apos-042015634.html

  • Julie

    LOL!
    JULIE

  • http://gerb-reloaded.blogspot.com/ Gold_Gerb

    shady story. The focus was on the spectators not helping, and not why a disabled man ended up in the water of his own accord.

  • Julie

    Riding Waves Bend – Madras will be a mad house on solar eclipse as you stated previously. John Day would be great as you said Also great trade ACRX Nice one !
    JULIE

  • evilasevildoes

    her call

  • Mark Shinnick

    Yes, I believe immoral things like this do happen, just as I believe from evidence things like the Holocaust happened, and that life itself is always a moment-to-moment challenge to each of Good v (serious)Evil.

  • ridingwaves

    man, the heat is getting to your brain….
    go back to San Diego to cool it down

  • Julie

    I have the week off on total solar eclipse. We will view at Custer’s Last Stand in Montana. If in the market that day will probably get massacred. Lol !
    JULIE

  • ridingwaves

    eyeing 2 nice setups in bio sector right now…
    jeffries put out 7.50 price objective…

  • Mark Shinnick

    Drats…lost insight into the FM POV.

  • http://gerb-reloaded.blogspot.com/ Gold_Gerb
  • http://gerb-reloaded.blogspot.com/ Gold_Gerb
  • Ronebadger

    OK, you brought up the BEACH…what is it with women and the beach?!? I live on Long Island and the Atlantic Ocean is cold until mid-July…looks murky a lot (kinda green and yellow)…I’ve been there hundreds of times in my youth, plus the beaches at the Long Island Sound. She always wants to go and I’m a jerk for not wanting to go. Sit just sits there, walks a bit and goes in the water but doesn’t really swim in the ocean. Women LOVE to go to the beach and “lay out”, sit and read…relaxing I guess. It’s 90F right now, heat index is 94F, dewpoint is 70. I’m working from home right now, it’s 76F and 52%RH. I’m very comfortable. (She also wants to go in every pool in every hotel.)

    I don’t need to go to the beach and get all uncomfortable with the S’s: sand, surf, salt, sweat and sunburn. BUT, I DO like to go to cruise the Caribbean in Feb, where its 20F here and 83F there…THEN I’ll go in the water and relax on the beach in the sub-Tropics with a 10-15mph trade wind going.

    OK, I got that out of my system.

  • http://gerb-reloaded.blogspot.com/ Gold_Gerb

    thinking like a Man.
    it’s all about the Feelz, dude. Exploit the feels, you CAN DO it!

  • Julie

    We have two homes Aloha OR (suburb Portland’s west side) and Bozeman MT. We are showing some friends the Custer Battlefield that week. GG Thanks for the map. The solar eclipse in February 1979 Bozeman was at the epicenter
    JULIE

  • http://gerb-reloaded.blogspot.com/ Gold_Gerb

    I drove through Aloha once in my Intel Days.
    you aren’t one of those pot smoking liberal festival attenders are you?
    LOL.

  • Julie

    NOOOOOOO ! I did work for Intel ….. Intel culture not my cup of tea …. Worked there 11 years and could not wait to flee the scene…
    JULIE

  • http://gerb-reloaded.blogspot.com/ Gold_Gerb

    well, at least you got the 7 years vestment.

  • ridingwaves

    umbrella, folding chair and 50 spf takes 3 our of 4 issues out of equation. My wife doesn’t like the sand or water, but a nice lounge chair and iced sprayer with umbrella and she is good to go….

    you folks are spoiled by the gulf stream, you want cold water, come up to N. California where Ice cream headaches while duck diving under the wave are the norm….my wife is more lay out by a pool person but the beaches of Hawaii and Greece she loves

  • http://gerb-reloaded.blogspot.com/ Gold_Gerb
  • Julie

    Riding Waves EXAS is in Bio Sector and has been a performer. On a previoud thread I stated I was watching for a pullback. 39 area is a breakout and stumbling at this resistance area. Watching for a pullback to 21 ema and 21 baseline ichimoku cloud The 8 conversion line has been recent support and a close below will probably negate a breakout
    JULIE https://uploads.disquscdn.com/images/2c84bf2d7eb20aada2392ea7658f06316d0c3c91672a8620689aaba401c3c000.jpg

  • ridingwaves

    they do a swim from Alcatraz to the Marina every year…over 1K swimmers with youngest at 9…

  • Julie

    GG the only sharks in MT are card sharks. Some really big Texas Hold em Games in the Big Sky !
    JULIE

  • ridingwaves

    I’ve been in it since 19….
    jumped into AVXL on massive opex beat down….scalp trade 3.86

  • Mark Shinnick

    Evidently, they are discerning…not tending to attack mankind when aware its not a seal.
    https://youtu.be/B_FwnR8F4jc

  • Julie

    Gotta get some work done Sooo… Everyone Have A Great Weekend … As stated below EOD may enter a short probe SPX against yesterday’s high and add with a bearish close below the daily 5 ema This weekend predicted hot 100 degrees in OR Everyone Be Safe !
    JULIE

  • ridingwaves

    I think they are smarter than we give them credit for. There are tons of surfers up here in the water every day in the worlds GW capital or the bloody triangle that they pass on routinely. But one wrong sensory pulse could be fatal for sure…

  • Mark Shinnick

    Yeah….by accident. Maybe an occasional psycho shark too, while immensely more attacks occur man v man.

    Gradually rolling into some tentative shorts here, and low size long miners.

  • ridingwaves

    their are some rogue sharks, Western Australia is familiar with them…

  • Mark Shinnick

    Crossovers seem funny sometimes, like our general agreement about 5% corrections. Shakeouts are deemed healthy. Humanity has about 5% narcissists and psychotics, they do stir things up. Evolution may depend on some % psychosis in all animalia.

  • ridingwaves

    surprised no mention on CL bashing….
    Tomcat were you short? Nicely done
    and I see the $ is heading for 92 after breaking 94 number

  • Julie

    GWPH One last chart Saw this Jasper Very interesting … A pullback to the confluence of the rising 21 and 55 ema’s and the lower trend line ….. Up into the 50% retracement and 50% fan arc ….. A likely pullback
    JULIE https://uploads.disquscdn.com/images/4c0effd3e1d7a3f216ef8cddb29adbdccdec40a29ee7b580888d84d6f5d64f92.jpg

  • Julie

    Miss type if 61.8% retracement appears should be 50% retracement
    JULIE

  • OJuice

    I missed it. Stepped into the batters box and forgot to swing at the ball…

  • Julie

    Guys I just checked out GWPH A Bio that scientifically improves the quality of retail cannibus sold in states where now legal ! Too Much ! LOL ! Gonna watch this one !
    JULIE

  • http://evilspeculator.com Sir Mole III

    I’m the same way – I fucking hate the beach. It’s a bit better if it’s got grovel instead of sand. But I’m more of a mountain goat to be honest.

  • Darrell Osgood

    Minor typos in the fourth paragraph. You meant “Either it is < 0.05 (high confidence of mean reversion) or it is not (no confidence of mean reversion). And that means a p-value of 0.051…"

    But then the p-values section seems to have issues.

    VIX is 0.03, so the null hypothesis cannot be rejected. Only the VXV series rejects the null (there is a relationship). Also note that the ratios have p-values at essentially 0 (e-6 and e-29! holy cow). The other odd thing is that p-value for 5% and 10% tests of VXV were identical to 12 significant digits. Maybe a copy and paste issue?

    I had not met the ADF before, so wikipedia is my friend. Wikipedia says the alternative hypothesis is stationarity. In this case, VXV is stationary (mean and variance don't change over time, as you said). VIX and the ratios have some feature like a trend that causes non-stationarity.

    I am ignorant as far as the application to financials go.

  • Ronebadger
  • Julie

    SPX at percentage levels above the daily 21 ema and 233 ema’s where caution is warranted
    JULIE https://uploads.disquscdn.com/images/bcea2386a11e066b8715613fee757fc8530afce61e8d51c2fe5de3ae182e8ec4.jpg

  • evilasevildoes
  • Julie

    Mole Great read on 4000 Thank You. The following chart may interest you $VIX. Everyone gives $VIX a number but this chart shows otherwise. Pattern recognition I have noticed for possible bottoms SPX. A relationship with the 10 ema in lieu of a designated number. When the $VIX is a certain percentage above https://uploads.disquscdn.com/images/6e5df0dfd7bdea581eee08ec9f1d485a795c8933c49ca1497ba6fb49fb0a2329.jpg it’s 10 ema i.e. notice the two horiziontal lines drawn. This chart has helped me nail recent bottoms. Thanks Again Mole on your hard work 4000
    JULIE

  • Julie

    Forgot to mention. I stated in several posts below that I may enter a short ( probe) SPX EOD against Thursday’s high ….. I did.
    JULIE

  • Julie

    CHIEF $VIX : $VXV chart above. This imo is significant i.e. combine with $SPX RSI (30) at 60
    JULIE

  • HD

    Very detailed post. Congrats on #4000 and staying with blogging for so long. Not being critical just have an opinion about how popular the VIX is these days. Bottom line -the VIX lags. There is no way it can’t lag as it’s math is dependent on SPX. Looking at historical 30 day snapshots of implied volatility is good for trivia I guess. ie, VIX had a 9 reading in February and people were losing their minds. That was 2270 SPX, 200 points ago. VIX is trending though and it makes sense to add to analysis. At least your analysis is unique.

    I will add I found this kind of interesting -“The VIX ‘Easy Rides’ chart shows us in a cyan period and that means pretty much anything can happen on a short term basis, but medium or long term don’t even try to short this bull market” As it’s the opposite of what the VIX measures. Short term expectations.

    We all have our own strategies that we feel equate to ‘wave wanking.’ The VIX is mine. If the strategy had any merit people would be all over the OVX as it actually measures a volatile product. JMHO

  • http://evilspeculator.com Sir Mole III

    Any professional algorithmic trader I know is either looking at or trading implied volatility. Volatility is a lot easier to predict than direction.

  • HD

    absolutely, I read your VIX analysis as it related to equities though. If you are trading volatility what product are you using? thx