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Thursday, October 1, 2009

10/01/2009 Market Recap: VIX Trading Setup


CPCE top signal maybe confirmed.

Pay attention to potential VIX trading setup.

If no big bounce like the previous 2 cases then the initial down target for SPY is $100.94.

  TREND MOMENTUM   COMMENT - Sample for using the trend table.
Long-term Up      
Intermediate Down Neutral    
Short-term Down Neutral    
SETUP DATE TRADE STOP LOSS Mechanic trading signals for reference only. Back tested since 2002.
ST Model I     *Stopped out with gain on 10/01. No position held now.
ST Model II 09/29 Sell next open 09/29 High Position initiated on 09/30.
VIX ENV Buy       *Could be triggered soon.


2.8.0 SPX:CPCE, the trend line is held today so the top could be confirmed – at least a short-term top. If CPCE could still hold the trend line tomorrow, then definitely this time is different from what happened in June and therefore the chances are getting higher that the intermediate-term was topped.



2.0.0 Volatility Index (Daily), as mentioned in the After Bell Quick Summary, the bull’s hope is VIX which looks very similar to the previous “skyrocket to a new high” setup, while the bear’s hope is maybe the 3rd time is different. Well, who’s going to be? We might know tomorrow. For details about the VIX trading setup please refer to 6.2.0a VIX Trading Signals (ENV) and 6.2.2b VIX Trading Signal (BB). I’ve also included the back test summary for those 2 trading setups which shows a good winning rate but just so so gain/loss ratio. Anyway, in order to trigger these 2 trading setups, VIX must drop back into ENV or BB, right now, not yet.


VIXBBSetupSummary VIXENVSetupSummary

1.0.2 S&P 500 SPDRs (SPY 60 min), if indeed bear is lucky this time that there’s no big rebound then the text book target for Symmetrical Triangle is around $100.94. This also coincides with the target calculated by Elliott Wave Update ~ 1 October (Updated 30SPX). I also include the chart below. And here is how the target is calculated: Wave (III) = 1.618 * Wave (I), which is, 1069.62 - ( 1080.15 - 1041.17 ) * 1.618 = 1006.55.

SPY60min spx30


6.3.2 Major Distribution Day Watch, forgot to mention this in the After Bell Quick Summary. Today is a Major Distribution Day (NYUPV:NYDNV > 9), this means 68% chances a green close tomorrow.


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