VIX Long: Quantitative analysis
Diupdate
The following data is meant to help guide the decision as to when to buy/go long on the short term and midterm VIX related etfs/etfs. The VIX daily minimum and closing prices were downloaded from the CBOE website. The % of days with daily minimums and daily closing prices were then calculated in three over 3 time periods ((the last 12 1/2 years, the last 9 years, and the last 2 years).
Note that there are periods of low volatility during strong bull markets, especially the housing bubble .
DATASET #1 Last 12 1/12 years:
CBOE VIX daily minimum prices from 1/5/2004 to 7/29/2016.
Last 3165 trading days days (from 1/5/2004 to 7/29/2016).
Vix Value Number of days % of days
< 10 12 0.38
< 10.5 62 1.96
< 11 144 4.55
< 11.5 250 7.90
< 12 384 12.1
CBOE VIX daily closing prices from 1/5/2004 to 7/29/2016.
Last 3165 trading days days (from 1/5/2004 to 7/29/2016).
Vix Value Number of days % of days
< 10 4 0.12
< 10.5 35 1.11
< 11 92 2.90
< 11.5 174 5.50
< 12 302 9.54
There was an extended period of low volatility during the bull market run from November 2004 through June 2007 (the housing bubble).
Since then, low volatility has been much less frequent.
DATASET #2 Last 9 years:
(9 years plus 1 month)
CBOE VIX daily minimum prices from 7/2/2007 to 7/29/2016.
Last 2287 trading days (from 7/2/2007 to 7/29/2016).
Vix Value Number of days % of days
< 10 0 0.00
< 10.5 3 0.13
< 11 14 0.612
< 11.5 39 1.71
< 12 83 3.63
CBOE VIX daily closing prices from 7/2/2007 to 7/29/2016
Last 2287 trading days (from 7/2/2007 to 7/29/2016).
Vix Value Number of days % of days
< 10 0 0.00
< 10.5 1 0.04
< 11 9 0.39
< 11.5 18 0.79
< 12 50 2.19
DATASET #3 Last 2 years:
CBOE VIX daily minimum prices from 8/1/2014 to 7/29/2016.
Last 504 trading days (from 8/1/2014 to 7/29/2016).
Vix Value Number of days % of days
< 10 0 0.00
< 10.5 0 0.00
< 11 1 0.20
< 11.5 5 0.99
< 12 31 6.15
CBOE VIX daily closing prices from 8/1/2014 to 7/29/2016.
Last 504 trading days (from 8/1/2014 to 7/29/2016).
Vix Value Number of days % of days
< 10 0 0.00
< 10.5 0 0.00
< 11 0 0.00
< 11.5 1 0.20
< 12 12 2.38
The net results:
I am setting trade alerts to notify me of VIX trading <12, < 11.5, and < 11.0.
I will buy the midterm VIXM and VXZ when the VIX is < 12.
I will consider buying the short term VIXY and VXX and the short term 2x leveraged UVXY when the VIX is < 11.0. The short term etfs/etns should not be held long term due to losses due to cotango. The daily leveraged etfs also usually decline due to daily rebalancing (I haver not checked UVXY on this0. The midterm etfs/etns decay more slowly over time (see my other posted VIX idea).
Note that if we enter a sustained strong bull market like the bull market run from November 2004 through June 2007 (the housing bubble), this strategy will not work well. I am in the camp that a debt crash will occur at some point in the next couple of years. Also the US population will be going over its demographic cliff. .
Note that, if we undergo a major crash, we may not see VIX below 12 for Note the highly respected chartwatchers (whom I trust a great deal) thinks we will be in a bull market for the next 1-2 years.
Note that there are periods of low volatility during strong bull markets, especially the housing bubble .
DATASET #1 Last 12 1/12 years:
CBOE VIX daily minimum prices from 1/5/2004 to 7/29/2016.
Last 3165 trading days days (from 1/5/2004 to 7/29/2016).
Vix Value Number of days % of days
< 10 12 0.38
< 10.5 62 1.96
< 11 144 4.55
< 11.5 250 7.90
< 12 384 12.1
CBOE VIX daily closing prices from 1/5/2004 to 7/29/2016.
Last 3165 trading days days (from 1/5/2004 to 7/29/2016).
Vix Value Number of days % of days
< 10 4 0.12
< 10.5 35 1.11
< 11 92 2.90
< 11.5 174 5.50
< 12 302 9.54
There was an extended period of low volatility during the bull market run from November 2004 through June 2007 (the housing bubble).
Since then, low volatility has been much less frequent.
DATASET #2 Last 9 years:
(9 years plus 1 month)
CBOE VIX daily minimum prices from 7/2/2007 to 7/29/2016.
Last 2287 trading days (from 7/2/2007 to 7/29/2016).
Vix Value Number of days % of days
< 10 0 0.00
< 10.5 3 0.13
< 11 14 0.612
< 11.5 39 1.71
< 12 83 3.63
CBOE VIX daily closing prices from 7/2/2007 to 7/29/2016
Last 2287 trading days (from 7/2/2007 to 7/29/2016).
Vix Value Number of days % of days
< 10 0 0.00
< 10.5 1 0.04
< 11 9 0.39
< 11.5 18 0.79
< 12 50 2.19
DATASET #3 Last 2 years:
CBOE VIX daily minimum prices from 8/1/2014 to 7/29/2016.
Last 504 trading days (from 8/1/2014 to 7/29/2016).
Vix Value Number of days % of days
< 10 0 0.00
< 10.5 0 0.00
< 11 1 0.20
< 11.5 5 0.99
< 12 31 6.15
CBOE VIX daily closing prices from 8/1/2014 to 7/29/2016.
Last 504 trading days (from 8/1/2014 to 7/29/2016).
Vix Value Number of days % of days
< 10 0 0.00
< 10.5 0 0.00
< 11 0 0.00
< 11.5 1 0.20
< 12 12 2.38
The net results:
I am setting trade alerts to notify me of VIX trading <12, < 11.5, and < 11.0.
I will buy the midterm VIXM and VXZ when the VIX is < 12.
I will consider buying the short term VIXY and VXX and the short term 2x leveraged UVXY when the VIX is < 11.0. The short term etfs/etns should not be held long term due to losses due to cotango. The daily leveraged etfs also usually decline due to daily rebalancing (I haver not checked UVXY on this0. The midterm etfs/etns decay more slowly over time (see my other posted VIX idea).
Note that if we enter a sustained strong bull market like the bull market run from November 2004 through June 2007 (the housing bubble), this strategy will not work well. I am in the camp that a debt crash will occur at some point in the next couple of years. Also the US population will be going over its demographic cliff. .
Note that, if we undergo a major crash, we may not see VIX below 12 for Note the highly respected chartwatchers (whom I trust a great deal) thinks we will be in a bull market for the next 1-2 years.
Catatan
DataSet1.tiffCatatan
/Users/frankdsm/Documents/!!!!StockMarkets/VIX/DataSet1.jpgCatatan
DataSet1.jpgCatatan
Unfortunately, the tables/datasets I created lost their formatting in the upload. I am trying to figure out if I can upload tiffs or jags of the same so they can be read properly.Catatan
2 year summary until I can get the tables uploaded:In the last two years (504 trading days):
1 day (0.2%) had a VIX daily minimum < 11.0
5 days (0.99%) had a VIX daily minimum < 11.5
31 days (6.15%) had a VIX daily minimum < 12.0
In the last two years (504 trading days):
0 days (0.0%) had a VIX daily close < 11.0
1 day (0.20%) had a VIX daily close < 11.5
12 days (2.36%) had a VIX daily close < 12.0
I analyzed and chose the daily minimums because this is what affects intraday trade alerts.
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