Volatility Indexes Short-term Overbought
By
Rennie on Friday, October 2nd, 2009 at 1:12 pm
Volatility indexes are set to close in overbought territory for a second consecutive session Friday. The Nasdaq Volatility Index (VXN) will close over its upper bollinger band for the second day in a row on a settlement above 28.16 (currently VXN is at 28.68). Historically, this has been a good indication that the Nasdaq will close flat-to-higher the following session as volatility falls out of technically overbought territory. We only have historical data on the VXN since the beginning of 2001, but since that time we’ve seen a total of 27 separate instances in which the VXN closed over its upper band two days running. All of these occurrences are noted in the table below, along with the performance of the Nasdaq100 the following session…
VXN Over Its Upper Band Two Consecutive Sessions
09/01/09… Nasdaq100 -0.1% next session
10/07/08… Nasdaq100 +0.1% next session
06/09/08… Nasdaq100 -0.4% next session
03/17/08… Nasdaq100 +4.4% next session
11/09/07… Nasdaq100 -2.6% next session (*)
10/22/07… Nasdaq100 +2.2% next session
10/16/07… Nasdaq100 +1.3% next session
08/01/07… Nasdaq100 +1.1% next session
07/27/07… Nasdaq100 +0.9% next session
02/28/07… Nasdaq100 -0.5% next session
07/14/06… Nasdaq100 +0.4% next session
05/18/06… Nasdaq100 +0.9% next session
05/15/06… Nasdaq100 -0.7% next session
04/12/06… Nasdaq100 +0.4% next session
01/23/06… Nasdaq100 +0.6% next session
01/18/06… Nasdaq100 +0.8% next session
01/10/06… Nasdaq100 +0.8% next session
08/08/05… Nasdaq100 +0.7% next session
04/18/05… Nasdaq100 +0.8% next session
07/26/04… Nasdaq100 +1.7% next session
04/30/04… Nasdaq100 +1.0% next session
03/11/04… Nasdaq100 +2.1% next session
11/18/03… Nasdaq100 +1.0% next session
06/09/03… Nasdaq100 +1.5% next session
06/11/02… Nasdaq100 +2.0% next session
05/06/02… Nasdaq100 -0.2% next session
09/07/01… Nasdaq100 +0.8% next session
Note that in 21 out of 27 cases, the Nasdaq proceeded to close higher the following session. Only one case led to a loss of 1% or more the next session, while ten cases led to a gain of 1%+ the next day.
Volatility Indexes Short-term Overbought
By Rennie on Friday, October 2nd, 2009 at 1:12 pmVolatility indexes are set to close in overbought territory for a second consecutive session Friday. The Nasdaq Volatility Index (VXN) will close over its upper bollinger band for the second day in a row on a settlement above 28.16 (currently VXN is at 28.68). Historically, this has been a good indication that the Nasdaq will close flat-to-higher the following session as volatility falls out of technically overbought territory. We only have historical data on the VXN since the beginning of 2001, but since that time we’ve seen a total of 27 separate instances in which the VXN closed over its upper band two days running. All of these occurrences are noted in the table below, along with the performance of the Nasdaq100 the following session…
VXN Over Its Upper Band Two Consecutive Sessions
09/01/09… Nasdaq100 -0.1% next session
10/07/08… Nasdaq100 +0.1% next session
06/09/08… Nasdaq100 -0.4% next session
03/17/08… Nasdaq100 +4.4% next session
11/09/07… Nasdaq100 -2.6% next session (*)
10/22/07… Nasdaq100 +2.2% next session
10/16/07… Nasdaq100 +1.3% next session
08/01/07… Nasdaq100 +1.1% next session
07/27/07… Nasdaq100 +0.9% next session
02/28/07… Nasdaq100 -0.5% next session
07/14/06… Nasdaq100 +0.4% next session
05/18/06… Nasdaq100 +0.9% next session
05/15/06… Nasdaq100 -0.7% next session
04/12/06… Nasdaq100 +0.4% next session
01/23/06… Nasdaq100 +0.6% next session
01/18/06… Nasdaq100 +0.8% next session
01/10/06… Nasdaq100 +0.8% next session
08/08/05… Nasdaq100 +0.7% next session
04/18/05… Nasdaq100 +0.8% next session
07/26/04… Nasdaq100 +1.7% next session
04/30/04… Nasdaq100 +1.0% next session
03/11/04… Nasdaq100 +2.1% next session
11/18/03… Nasdaq100 +1.0% next session
06/09/03… Nasdaq100 +1.5% next session
06/11/02… Nasdaq100 +2.0% next session
05/06/02… Nasdaq100 -0.2% next session
09/07/01… Nasdaq100 +0.8% next session
Note that in 21 out of 27 cases, the Nasdaq proceeded to close higher the following session. Only one case led to a loss of 1% or more the next session, while ten cases led to a gain of 1%+ the next day.