Click on Stats to Enlarge
The above scan looks at times in my data where the VIX/VXV ratio was above 1.0 and there was a bullish divergence on my "panic indicator" which combines data from put/call ratios, volume, volatility.
The VXV data only goes back to December 2007. So it misses the very early part of the 2007-2009 bear market, which may be analagous to our market. In order to attempt to remedy that, I looked at the year 2007 and filtered for the panic indicator bullish divergence, along with a VIX increase of 5% or more to just gauge some probable similar circumstances.
The results of the 2007 sample were similar to what we are seeing in the data where we do have the VXV which is posted above.
There was a very strong positive skew looking forward on all time frames noted. The 1 month time frame was very strong in the skew and the closing returns.
So while we could just see a short term rebound, or no rebound at all, it appears that yesterday's action could be a short or intermediate term bottom with a week or more ahead of gains.
As is the case in volatile environments, if the decline is not over, it could increase in intensity on further breaks to lower lows. So stop losses are recommended!
No comments:
Post a Comment