My analysis of VIX spike, December 4-18, 2014.*
(I get the best results for the appearance and layout of these numbers at 175% zoom level).*
Date,,,,,,,,,,,,,,,,,,,Open,,,,,High,,,,,,,Low,,,,,,,Close
Dec 18, 2014,,,,,22.49,,,,,24.75,,,,,22.30,,,,,23.39
Dec 17, 2014,,,,,32.20,,,,,32.28,,,,,24.63,,,,,24.86
Dec 16, 2014,,,,,30.08,,,,,31.50,,,,,25.42,,,,,31.35
Dec 15, 2014,,,,,27.38,,,,,31.00,,,,,25.88,,,,,28.79
Dec 12, 2014,,,,,29.57,,,,,30.47,,,,,26.64,,,,,30.08
Dec 11, 2014,,,,,23.65,,,,,27.31,,,,,21.57,,,,,27.18
Dec 10, 2014,,,,,20.88,,,,,24.42,,,,,20.70,,,,,24.36
Dec 9, 2014,,,,,,,21.67,,,,,22.38,,,,,19.74,,,,,20.02
Dec 8, 2014,,,,,,,18.46,,,,,20.04,,,,,17.87,,,,,19.59
Dec 5, 2014,,,,,,,18.30,,,,,18.55,,,,,17.62,,,,,18.27
Dec 4, 2014,,,,,,,19.30,,,,,20.00,,,,,18.50,,,,,18.91
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CLOSING NUMBERS ONLY:
DATE,,,,,,,,,,,,,,,,,UVXY,,,,,SPY,,,,,,,VIX,,,,,VIX / VXV,,,SNAPOPINION
Dec 18, 2014,,,,,23.39,,,,,206.84,,,,,16.81,,,,,0.910,,,,,24% SELL
Dec 17, 2014,,,,,24.86,,,,,201.79,,,,,19.44,,,,,0.952,,,,,,,8% SELL
Dec 16, 2014,,,,,31.35,,,,,197.90,,,,,23.57,,,,,1.021,,,,,48% BUY
Dec 15, 2014,,,,,28.79,,,,,199.51,,,,,20.42,,,,,0.970,,,,,40% BUY
Dec 12, 2014,,,,,30.08,,,,,200.94,,,,,21.08,,,,,1.004,,,,,40% BUY
Dec 11, 2014,,,,,27.18,,,,,204.23,,,,,20.08,,,,,0.969,,,,,32% BUY
Dec 10, 2014,,,,,24.36,,,,,203.16,,,,,18.53,,,,,0.968,,,,,,,8% BUY
Dec 9, 2014,,,,,,,20.02,,,,,206.47,,,,,14.89,,,,,0.882,,,,,24% SELL
Dec 8, 2014,,,,,,,19.59,,,,,206.61,,,,,14.21,,,,,0.847,,,,,40% SELL
Dec 5, 2014,,,,,,,18.27,,,,,208.00,,,,,11.82,,,,,0.760,,,,,80% SELL
Dec 4, 2014,,,,,,,18.91,,,,,207.64,,,,,12.38,,,,,0.792,,,,,72% SELL
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Notice the VIX number, the VIX to VXV ratio, and the "snap opinion" from barcharts, and how these compare to the direction of UVXY prices:
11.82,,,,,0.760,,,,,80% SELL, (where the low ratio should be a buy signal),
23.57,,,,,1.021,,,,,48% BUY, (where the high ratio should be a sell signal).*
This "snap opinion" might work at some point during the trading day, but it's often backwards by the end of the day.*
These numbers would indicate that a VIX under 13 is a buy signal, and a VIX over 20 is a sell signal.*
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The low of Dec 5 was 17.62, and the high of Dec 17 was 32.28; This makes the MAXIMUM gain in one swing trade to be about
(32.28 - 17.62)/17.62 = 83%.*
The question is whether anyone could actually GET (anywhere near) that rate of increase, by some predictable algorithm.*
I thought that a stop-loss of 5% would work, but I can see here that it wouldn't. The daily swings are just too wide.*
I calculate the gaps between high and low of the day, (while the high keeps getting higher), as about:
5%, 11%, 12%, 15%, 21%, 13%, 17%, 19%, (24%);
In other words, we would need a stop-loss order set at about 25%, (if that were possible), to be sure of not losing on the daily swings. Based on a high of 32.28 and a stop-loss of 25%, this would leave us with 24.21 as our selling price.*
--*
The current low is 16.65; If this goes up about 50% from the bottom, we would have about $25 as our selling price.*
I will plan to set a sell limit of $25. If I could get that much, that would be the best trade I've ever made, in over 3 years of trading. In other words, (as much as someone else might do better), this would be doing very good for ME, given my track record, and my capabilities right now.*
A day trader might be able to make a large profit on each daily move, because the gap is so extreme.*
