Here we have VIX divided by SPX and M2SL which has been inverted and set to logarithmic. When we do this we are shown an extremely consistent linear channel which we can define ranges that tell us when to Buy/Sell SPX and VIX and short VIX / Long SPX.
Adding the stoch RSI and Fisher transform can also tell us with the Volatility is due to increase and LONG and VIX is a viable play. We can determine this by a value below 15 on the stoch and below -1.5 on the fisher transform with a signal cross.
At the top of his channel we would be taking profits on SPX and using that to DCA long on VIX. The levels below tell us when to take profits on VIX and add back into SPX. When VIX is very extended (around the mean and first/second take profit levels) taking Short on the VIX is also a good play. At the bottom of this channel we are getting out of VIX and going Long on SPX.
great approach that we follow too. Allow me some comments. First is on the low side where you change all VIX into SPX. We are surprised about the level of depth assuming that a V as we had when Covid started in 2020 happens very seldom. Therefore our bottom is at SPX 3.400 (as if Covid would have led to the V). Second comment is on VIX erosion caused by rollforward which continouosly eats your profits. How is this reflected in your approach. Thanks
SpuntRader
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@stockholder11 explain rollforward haven't heard that before
s-matin-m
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Congratulations on your ridiculous analysis
tosborn123
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Beauty
deadsquare214
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Really like your post. Would really appreciate to hear your rational for what it would mean if the chart broke out to the upside or downside of the channel. likelihoods? effect? have you used same setup for UK or any other countries?
xpadder4
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Crazy analysis bro, could u pls like my comment or my idea i need more reputation to join the chat 😂
El_Diin
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Very nice, thanks for the writeup.Good job.
kimstandgraph
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Ceers
gb50k
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i like what you are trying to do and how you are trying to do it (im a SPX/VIX fan myself). To trade the ranges you decribe you need to time those spikes. As any volatility trader will tell you... thats not easy. I have not tried the F.Transform. GL!
SpuntRader
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@gb50k no timing needed. going off the concept that periods of low volatility eventually have spikes of volatility. so you are dcaing in and out of vix. and not buying vix at all until spx has returned to this historical low volatility resistance. you can sell off with a grid of orders and not need to watch the market at all.