ES Monday 12-15-14

I sure hope Bruce feels better and will post...

someone I know sent me a link to a study of price performance of the S&P 500 cash index in Decembers when there are large jumps in the $VIX.
below is a link to the article and my response to him...
all data believed to be reliable, however no guarantees are implied or expressed.

The pullback in the market this year has triggered this signal... whether the historical pattern repeats has yet to be proven


This is not the Stock Trader's Almanac's mid December lows article, someone sent me a copy of this study,,, it looks like this guy has some neat studies at his blog site.
If you go to the link at the bottom of this e-mail, and then go to his blog you might find things worth knowing for the intermediate term

Maybe you should read the article first, then see my notes below...

http://finance.yahoo.com/tumblr/photoset-this-signal-has-perfect-record-of-forecasting-182907031.html


Here are my comments...
The author of the article is a little wrong in assuming that the VIX goes back to 1986... The original VIX was based on the S&P 100 (the $OEX options volatility) and that data did go back to 1986, BUT, the current VIX is based on Goldman Sacks studies of the S&P 500 Options volatility and it only goes back to 93 or 94... The S&P 100 Vix now uses ticker $VXO), So, for him to say back to 1986 for the VIX, is wrong unless Goldman has produced more back data (doubtful)

I wrote code to look at what he described. His description is wanting... like wanting more precise definitions...
there are 2 ways to interpret the description he offers of VIX High versus 1-month Low of VIX...

1) only compare the High reading of the VIX to the lowest VIX reading of the prior month of trade days (assume 22 trade days a month)
or
2) Only compare the high VIX reading to the lowest L of VIX established in DECEMBER ONLY.

I did not take the time to go to my historical files and pull out my VIX data of the past 28 years because I had enough... I went back to 2004...

He is saying that all 52 times the S&P500 closed higher than the close of the day that registered the extreme VIX reading. OK, well, based on my research of the recent past, that means that he is only looking at VIX Lows registered during the Month of December, not a 22 trade day lookback. (I can say that because I wrote two different sets of code to review which possible filter he was using... Back in 2012 I found the answer... he is comparing VIX H to VIX low established IN the Month of December, not on a 22 trade day look back. I can assume this because in December of 2012, the VIX H based on a 22 trade day look back registered a signal on 12/21/12, but the filter based on comparing VIX H to only the lows that actually occurred during December did not register until 12/27/12 and 12/28/12... The close for the year was above each of these closes, but it did not manage to close above the signal registered 12/21/12 (which was based on a 22 trade day lookback).

Well, if I am correct in this assumption (and this historical trend repeats again), I can tell you that all 4 of this December’s signals occurred when comparing the VIX H to the lowest VIX registered during the month of December...
this signal has been registered for the following trade days

12/9/14 SPX close was 2059.82
12/10/14 SPX close was 2026.24
12/11/14 SPX close was 2035.33
12/12/14 SPX close was 2002.33

and according that article (and assuming a repeat) as of the close on Dec 31, 2014, the S&P 500 should be 2059.82 or higher.

The profile for 10/30 has POC of 1975.25 open as of yet.

we do not USUALLY leave single prints and only one tpo wide at Monthly and weekly highs and lows...it happens but not that often so I think we will retest last weeks low sometime before the week ends........that is the best I can do with that probability.....so we have one tpo wide at last months lows and last weeks lows...That should be tested......perhaps buying an option is a better play down here...a weekly that is slightly in the money might do ...88 - 89.75 becomes the key magnet

this is a little too much action for me so i am on the sidelines. besides, i have been fighting chart issues all day so have not been able to look at anything

looking to go long here in the 75-76 area?

yeah, I like this area sharks but that first test and retest of the 1980 may have been it...trying again is higher risk so I'm gonna scale way back IF i even try again.....even though those singles are still up there they just tested them if you look at something lower than the 30 minute....always a concern for me.....if this area fails then I do like the 71.75 spot but I need to get out of here soon...even though the poc is officially at 75.25 from 10-30 we also were 4 tpos wide at 80.75 on that day...so now we have the battle between those two

It's amazing how other time frame players can step in and take it immediately higher on a dime sometimes

sure wish i had that power

Originally posted by sharks57

It's amazing how other time frame players can step in and take it immediately higher on a dime sometimes

ledge at 85.75...i's like to see 1980 hold on any down test now....i may be obsessed to a faulty with that 88 - 90 retest......that happening sometime this week leaves a lot of room to be wrong by expecting it to happen today...

this is some crazy action going on right now. impressive indeed

"Other Time Frames" its a mystery...

For every action there is usually an opposite reaction.. Some law of motion I hear

that's me gone at 88.50...gotta run...kids one pm band concert that I'm gonna be late for catchya all in the morning...good example of how important longer time frame reference points are and how often they get retested......quick rule is that we should never expect only one tpo to print at a weekly and monthly RTH high or low...that's my million dollar idea for today....ha !!!