StockFetcher Forums · General Discussion · can anyone code this condition ?<< >>Post Follow-up
mystiq
650 posts
msg #88790
- Ignore mystiq		 2/26/2010 2:09:03 PM

http://www.greenfaucet.com/technical-analysis/why-does-the-market-always-run-in-one-direction-when-its-options-expiration/16646

--->can anyone after reading the above article, code this condition with the VIX and SPX ? (-.-)
mystiq
650 posts
msg #88822
- Ignore mystiq		 2/27/2010 1:17:05 AM

This week was options expiration. Now you know why we got this ramp up. Because the bulk of the masses felt we were going nowhere but down and when the masses think one thing the market always does the opposite. This happens all the time.

Look at the January expiration in the S&P 500 chart below. Six days earlier all we heard was we are going to the moon because of the saying that the first few days of January are a barometer for the year. Then came options expiration week. See what they did to the market into options expiration? They killed it, why? Because everyone was long and all in.

All those put options that were bought the last two weeks have gone to. Remember the VIX? When the VIX spikes it's an indicator of fear. It really measures emotional investors. We've warned time and time again about getting emotional and when the VIX is spiking like it did a few weeks back it was saying the masses were buying puts. Sure enough here we are and that emotional money is taking a header.



Moral of the story -- listen to the market, not the fear or greed. In fact do the opposite. Wall Street does. They make a living on fear and greed.

Think about it. At the lows in March of 2008, if you were selling just who do you think you were selling to AFTER it already fell to decade-plus lows. After all for every seller there has to be a buyer right? That's what capitulation lows are all about. They shake the tree to get the emotional money to sell. Once that occurs, then the market magically moves higher without them.

The flipside to that is climax runs. Wall Street uses climax runs to their advantage too, they got that game down pat because they know that the market is made up of emotional people with fear and greed running rampant all the time. From the fear side of the equation it's "the fear of missing it" AFTER they've already missed it. Hence the phrase you gotta sell peanuts while the circus is in town and that is exactly what Wall Street does when you get a climax run. Reminds me of the old saying when the street sees bad times ahead they run the market. Why would that be? Why would they run the market if times are going to get bad wouldn't they kill it?

NOPE. They run it so they can get out while the getting is good. Case in point just look at Oct and Nov. 2007. We all knew that (or at least those who look under the hood of that shiny car on the lot before they buy) FAS 157 Mark to Market was due October 1, 2007 as it was announced on June, 2007.

Welcome to the mechanics of emotional extremes. Consider this a crash course in it.

Next time you see the VIX spiking now you'll know what's going on under the surface.

If you've ever wondered why the market makes big moves on options expiration week now you know why, or a big part of why at the least.


chetron
2,817 posts
msg #88824
- Ignore chetron
modified		 2/27/2010 9:50:32 AM

just use this............

Fetcher[
/* go long */
/* ALL ENCOMPASSING VIX-O-LATER */

set{Vvix, ind(^VIX, high)}

Set{vMA10,CMA(Vvix,10)}
set{vSD,cstddev(Vvix,10)}
set{vSD10,2 * vSD}
set{vBOLU,vMA10 + vSD10}
set{vBOLD,vMA10 - vSD10}

/* TACHIKAWA 2 */

set{v1,VVIX 1 day ago}
set{vud,VVIX - v1}
set{vud1,count(vud above -0,1)}
set{vudf,vud * vud1}
set{vudema,cema(vudf,2)}

set{vdd,v1 - VVIX}
set{vdd1,count(vdd above -0,1)}
set{vddf,vdd * vdd1}
set{vddema,cema(vddf,2)}

set{myrsi1,vudema / vddema}
set{myrsi2,1 + myrsi1}
set{myrsi3,1 / myrsi2}
set{myrsi4,myrsi3 * 100}
set{VixRSI,100 - myrsi4}

VixRSI below 300
close above .1
volume above 1000000

draw VVIX
draw vbold on plot VVIX
draw vbolu on plot VVIX
draw vma10 on plot VVIX

vvix reached new 13 day high
low reached new 13 day low
close above .1
volume above 10000

]





and the reverse...


Fetcher[
/* go short */
/* ALL ENCOMPASSING VIX-O-LATER */

set{Vvix, ind(^VIX, low)}

Set{vMA10,CMA(Vvix,10)}
set{vSD,cstddev(Vvix,10)}
set{vSD10,2 * vSD}
set{vBOLU,vMA10 + vSD10}
set{vBOLD,vMA10 - vSD10}

/* TACHIKAWA 2 */

set{v1,VVIX 1 day ago}
set{vud,VVIX - v1}
set{vud1,count(vud above -0,1)}
set{vudf,vud * vud1}
set{vudema,cema(vudf,2)}

set{vdd,v1 - VVIX}
set{vdd1,count(vdd above -0,1)}
set{vddf,vdd * vdd1}
set{vddema,cema(vddf,2)}

set{myrsi1,vudema / vddema}
set{myrsi2,1 + myrsi1}
set{myrsi3,1 / myrsi2}
set{myrsi4,myrsi3 * 100}
set{VixRSI,100 - myrsi4}

VixRSI below 300
close above .1
volume above 1000000

draw VVIX
draw vbold on plot VVIX
draw vbolu on plot VVIX
draw vma10 on plot VVIX

vvix reached new 13 day low
high reached new 13 day high
close above .1
volume above 10000

]
mystiq
650 posts
msg #88886
- Ignore mystiq		 2/28/2010 11:27:53 PM

Thx chetron. What do you think about vix20dayHigh equal/close to spx20dayLow for BUY signals on spx
& vix20dayLow equal/close to spx20dayHigh for SELL signals?

chetron
2,817 posts
msg #88993
- Ignore chetron		 3/3/2010 6:50:51 AM

and for the all inclusiive folks....


Fetcher[

/* ALL YOU CAN EAT VERSION */
/* ALL ENCOMPASSING VIX-O-LATER */

set{Vvix, ind(^VIX, high)}
set{vvixl,ind(^vix,low)}

Set{vMA10,CMA(Vvix,10)}
set{vSD,cstddev(Vvix,10)}
set{vSD10,2 * vSD}
set{vBOLU,vMA10 + vSD10}
set{vBOLD,vMA10 - vSD10}

/* TACHIKAWA 2 */

set{v1,VVIX 1 day ago}
set{vud,VVIX - v1}
set{vud1,count(vud above -0,1)}
set{vudf,vud * vud1}
set{vudema,cema(vudf,2)}

set{vdd,v1 - VVIX}
set{vdd1,count(vdd above -0,1)}
set{vddf,vdd * vdd1}
set{vddema,cema(vddf,2)}

set{myrsi1,vudema / vddema}
set{myrsi2,1 + myrsi1}
set{myrsi3,1 / myrsi2}
set{myrsi4,myrsi3 * 100}
set{VixRSI,100 - myrsi4}


set{var31,count(vvixl reached new 13 day low,1)}
set{var32,count(high reached new 13 day high,1)}
set{vshort,var31 * var32}


set{var311,count(vvix reached new 13 day high,1)}
set{var312,count(low reached new 13 day low,1)}
set{vbuy,var311 * var312}

set{vplays,vbuy + vshort}

add column vbuy
add column vshort

draw vshort on plot vbuy

VixRSI below 300
close above .1
volume above 1000000

draw VVIX
draw vbold on plot VVIX
draw vbolu on plot VVIX
draw vma10 on plot VVIX

vplays above .5
do not draw vplays
close above .1
volume above 10000

]
chetron
2,817 posts
msg #88994
- Ignore chetron
modified		 3/3/2010 7:10:17 AM

for the advanced w/ vixrsi dissemulator...


Fetcher[

/* ALL YOU CAN EAT VERSION */
/* ALL ENCOMPASSING VIX-O-LATER */

set{Vvix, ind(^VIX, high)}
set{vvixl,ind(^vix,low)}

Set{vMA10,CMA(Vvix,10)}
set{vSD,cstddev(Vvix,10)}
set{vSD10,2 * vSD}
set{vBOLU,vMA10 + vSD10}
set{vBOLD,vMA10 - vSD10}

/* TACHIKAWA 2 */

set{v1,VVIX 1 day ago}
set{vud,VVIX - v1}
set{vud1,count(vud above -0,1)}
set{vudf,vud * vud1}
set{vudema,cema(vudf,2)}
set{vdd,v1 - VVIX}
set{vdd1,count(vdd above -0,1)}
set{vddf,vdd * vdd1}
set{vddema,cema(vddf,2)}

set{myrsi1,vudema / vddema}
set{myrsi2,1 + myrsi1}
set{myrsi3,1 / myrsi2}
set{myrsi4,myrsi3 * 100}
set{VixRSI,100 - myrsi4}

set{var33,count(vixrsi above 70,1)}

set{var31,count(vvixl reached new 13 day low,1)}
set{var32,count(high reached new 13 day high,1)}
set{vshorta,var31 * var32}


set{var311,count(vvix reached new 13 day high,1)}
set{var312,count(low reached new 13 day low,1)}
set{vbuya,var311 * var312}
set{vshort,vshorta * var33}
set{vbuy,vbuya * var33}

set{vplays,vbuy + vshort}

add column vbuy
add column vshort

draw vshort on plot vbuy

VixRSI below 300
close above .1
volume above 1000000

draw VVIX
draw vbold on plot VVIX
draw vbolu on plot VVIX
draw vma10 on plot VVIX

vplays above .5
do not draw vplays
close above .1
volume above 10000

]
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