I create a condition scan today looking at times of persistent elevated VIX/VXV ratios, followed by a "retest" of the ratio to a lower high.
Scan Criteria
10 day avg.VIX:VXV ratio peaked at >1.0 over the last 2 months
Today VIX:VXV single day ratio is >1.0
Today the 10 day avg. ratio is LESS THAN 1.0
The VXV only goes back 11 years, but includes almost all of the last bear market and several major corrections since then.
There was a notable forward positive skew especially at 4-5 days ahead.
Adding the condition of a large down day in SPY or a large 3 day maximum decline, made the skew stronger. Those conditions fit our current environment.
This scan condition has been excellent as an opportunity to sell puts/premium or write an
ATM or OTM bull put credit spread with 1 week until expiration.
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