Volatility (VXO) Down for a Fifth Day & Oversold

VXO down for a fifth consecutive session and more than 15% below its 10-day moving average, a sign volatility is short-term oversold and likely to bounce (coinciding with short-term weakness for stocks). Here’s a look at the last fifty instances in which VXO closed 15% or more below its 10-day moving average. Note that in 46 cases, or 92% of the time, the SPX posted a subsequently lower close (below the setup day’s close) within the next three sessions, well ahead of the 68% random chance for a close below today’s close in the next three days. This signal goes into effect today as long as VXO closes below 18.93.

VXO 15% Below 10-day Moving Average
09/03/10… Lower S&P close one session later
07/13/10… Lower S&P close one session later
07/09/10… No lower S&P close within three sessions
07/08/10… No lower S&P close within three sessions
06/18/10… Lower S&P close one session later
06/17/10… Lower S&P close two sessions later
06/16/10… Lower S&P close three sessions later
06/15/10… Lower S&P close one session later
06/02/10… Lower S&P close two sessions later
02/22/10… Lower S&P close one session later
02/19/10… Lower S&P close one session later
02/18/10… Lower S&P close three sessions later
01/28/09… Lower S&P close one session later
12/19/08… Lower S&P close one session later
12/22/08… Lower S&P close one session later
11/28/08… Lower S&P close one session later
11/26/08… Lower S&P close two sessions later
11/05/08… Lower S&P close one session later
11/04/08… Lower S&P close one session later
11/03/08… Lower S&P close two sessions later
10/21/08… Lower S&P close one session later
10/20/08… Lower S&P close one session later
07/22/08… Lower S&P close two sessions later
05/19/08… Lower S&P close one session later
12/26/07… Lower S&P close one session later
12/24/07… Lower S&P close two sessions later
12/21/07… Lower S&P close three sessions later
09/27/07… Lower S&P close one session later
09/26/07… No lower S&P close within three sessions
09/25/07… No lower S&P close within three sessions
09/24/07… Lower S&P close one session later
09/21/07… Lower S&P close one session later
09/20/07… Lower S&P close two sessions later
09/19/07… Lower S&P close one session later
09/18/07… Lower S&P close two sessions later
08/27/07… Lower S&P close one session later
08/24/07… Lower S&P close one session later
08/23/07… Lower S&P close three sessions later
08/22/07… Lower S&P close one session later
03/21/07… Lower S&P close one session later
03/12/07… Lower S&P close one session later
08/18/06… Lower S&P close one session later
07/26/06… Lower S&P close one session later
07/25/06… Lower S&P close one session later
07/03/06… Lower S&P close one session later
06/29/06… Lower S&P close one session later
06/21/06… Lower S&P close one session later
06/16/06… Lower S&P close one session later
06/15/06… Lower S&P close one session later
05/24/05… Lower S&P close one session later

Categories : Archived Intraday Commentary, Intraday Commentary

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