SEASONALITY OF VIX INDEX, including nearest dated FUTURES
LOWS during Low Volatility era: 2011 to Present:
BUY LOW
Date of Low Low to High Time Period fronm Low to High
2011 on 27.6.11 17 to 46 3 months
2012 on 20.9.12 14 to 22 3 months
2013 on 29.7.13 13 to 20 9 weeks
2014 on 7.7.14 11 to 26 3 months
2015 on 20.7.15 12.3 to 30 6 weeks
2016 0n 15.8.16 12 to 23 3 months
Lows out of 6: July x 3 = 50%, June, August and September once each.
100% probability (no such thing in markets! so 90%) that low will be in a 4 month window from June through to September.
Maximum time period from start to end of trade = 3 months (3 months' roll-overs too). A pattern is emerging.
BUT DON"T SELL THE HIGHS (unless you have good TA to stop you from doing so, but that's a moot point and will no doubt be debated)
Date of Vix index High from 2011 to present:
1.8.11
17.12.12
7.10.13
4.8.14 and 6.10.14
31.8.15
7.11.16
Highs out of 7: August x 2 = 33%, October x 3 = 50%, November x 1 and December x 1.
100% probability (so 90%) that the high will occur in 5 month time frame between August and December. A second pattern is emerging: ALL lows in 4 months of summer. All highs in final 5 months of each year.
6 rallies of 90% x 2, 50% x 2, 125% and 166%.
5 months of inaction (January to May)
7 months of potential action (June to December)
Minimum rise = 50%, maximum = 166%
Sucessive lower lows each year from 2015 on Vix and nearest dated futures contract at 12.3 in 2015, 12 in 2016 and likely 11.1 or close to in 20017 - in June or July with 66% probability.
Conclusion: Sell Vix from October/November if you can see a clear bottom (preferably a double bottom) on S and P forming at same point in time.
And buy Vix (ie reverse position) in June/July. Use the wind behind you at the right point in the year and you will do well. Set sail at the wrong time of year and your voyage is doomed before you even leave land. Please see preceeding comment for more detail.