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Two Perspectives on the Vix
While I wait to see if the VIX might find a new floor in the 30-35 range, two veteran VIX aficionados, are talking about their current views on the VIX.
Bernie Schaeffer
Outlines several of the factors that are influencing his recent thinking:
- Possible support at the ‘half high’ level of the VIX (50% of the November peak of 89.53)
- The importance of round numbers (a VIX of 50)
- Long-term moving averages (40 week and 80 week)
- Sector correlation (especially commodities vs. financials)
- VIX relative to SPX historical volatility (20 day HV)
David Penn
Favors a relative VIX to an absolute VIX and cites the familiar Connors 5% rule, in which investors should be long the market when the VIX is 5% or more above its 10 day simple moving average and short when the VIX is 5% or more below the 10 day SMA.
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