Oversold VXO
By
Rennie on Monday, November 8th, 2010 at 9:00 pm
Indications are pointing higher for Tuesday, with the two-day Gap & Go buy signal triggered Friday, the three-day Equity put/call ratio buy signal triggered last Thursday plus a one-day buy signal based on Monday’s lower close (see this October 27th column for a recent track record of the first down day after 5+ up days).
If we are going to see a higher close Tuesday, today’s lows should hold. VXO closed down over 5% and under its lower bollinger band. When volatility is technically oversold I make a point of noting that day’s low for the OEX. If it’s violated within the next two sessions, the OEX usually remains under pressure that session as rebounding volatility functions as a short-term headwind. The table below highlights those instances in which the VXO closed under its lower bollinger band and the OEX violated that day’s intraday low (considered the entry price) within two sessions. Note that the OEX ended up closing below the entry two-thirds of the time. In only one case out of thirty did it end up more than 0.4% above the entry, while it ended more than 0.4% below the entry eleven times. This will be triggered on a break of OEX 549.21 either Tuesday or Wednesday.
VXO Under Lower Band, OEX Violates Setup Day’s Low Within Two Days
09/03/10… 09/07/10 Sell @ OEX 494.22… OEX -0.1% from entry at the close
12/22/09… 12/23/09 Sell @ OEX 514.19… OEX +0.2% from entry at the close
06/29/09… 06/30/09 Sell @ OEX 428.15… OEX +0.4% from entry at the close
05/19/09… 05/20/09 Sell @ OEX 905.22… OEX -0.2% from entry at the close
05/06/09… 05/07/09 Sell @ OEX 903.95… OEX +0.4% from entry at the close
04/17/09… 04/20/09 Sell @ OEX 403.42… OEX -3.4% from entry at the close
12/19/08… 12/22/08 Sell @ OEX 422.45… OEX -0.9% from entry at the close
05/19/08… 05/20/08 Sell @ OEX 650.85… OEX -0.8% from entry at the close
12/24/07… 12/27/07 Sell @ OEX 693.69… OEX -0.5% from entry at the close
09/21/07… 09/24/07 Sell @ OEX 710.47… OEX -0.1% from entry at the close
11/21/06… 11/24/06 Sell @ OEX 651.49… OEX -0.1% from entry at the close
08/21/06… 08/22/06 Sell @ OEX 598.91… OEX +0.2% from entry at the close
11/03/05… 11/04/05 Sell @ OEX 559.46… OEX +0.4% from entry at the close
09/09/05… 09/13/05 Sell @ OEX 570.83… OEX -0.2% from entry at the close
06/21/05… 06/23/05 Sell @ OEX 570.37… OEX -1.0% from entry at the close
04/12/05… 04/14/05 Sell @ OEX 558.26… OEX -0.5% from entry at the close
02/02/05… 02/03/05 Sell @ OEX 567.93… OEX +0.1% from entry at the close
12/23/04… 12/27/04 Sell @ OEX 574.72… OEX -0.2% from entry at the close
06/08/04… 06/09/04 Sell @ OEX 553.43… OEX -0.2% from entry at the close
05/16/03… 05/19/03 Sell @ OEX 473.48… OEX -2.0% from entry at the close
04/15/03… 04/16/03 Sell @ OEX 447.88… OEX -0.3% from entry at the close
11/15/02… 11/19/02 Sell @ OEX 456.09… OEX +0.4% from entry at the close
11/22/02… 11/25/02 Sell @ OEX 474.23… OEX +0.6% from entry at the close
12/27/01… 12/31/01 Sell @ OEX 587.31… OEX -0.5% from entry at the close
10/26/01… 10/29/01 Sell @ OEX 562.48… OEX -1.6% from entry at the close
05/21/01… 05/23/01 Sell @ OEX 665.42… OEX +0.1% from entry at the close
08/08/00… 08/10/00 Sell @ OEX 799.13… OEX -0.0% from entry at the close
06/07/99… 06/08/99 Sell @ OEX 671.44… OEX -0.9% from entry at the close
04/22/98… 04/23/98 Sell @ OEX 543.97… OEX -0.5% from entry at the close
09/22/97… 09/23/97 Sell @ OEX 458.31… OEX +0.3% from entry at the close
Oversold VXO
By Rennie on Monday, November 8th, 2010 at 9:00 pmIndications are pointing higher for Tuesday, with the two-day Gap & Go buy signal triggered Friday, the three-day Equity put/call ratio buy signal triggered last Thursday plus a one-day buy signal based on Monday’s lower close (see this October 27th column for a recent track record of the first down day after 5+ up days).
If we are going to see a higher close Tuesday, today’s lows should hold. VXO closed down over 5% and under its lower bollinger band. When volatility is technically oversold I make a point of noting that day’s low for the OEX. If it’s violated within the next two sessions, the OEX usually remains under pressure that session as rebounding volatility functions as a short-term headwind. The table below highlights those instances in which the VXO closed under its lower bollinger band and the OEX violated that day’s intraday low (considered the entry price) within two sessions. Note that the OEX ended up closing below the entry two-thirds of the time. In only one case out of thirty did it end up more than 0.4% above the entry, while it ended more than 0.4% below the entry eleven times. This will be triggered on a break of OEX 549.21 either Tuesday or Wednesday.