PeakTrader.com Forum Index PeakTrader.com
Economics, Portfolio Optimization, and Technical Analysis
 
 FAQFAQ   SearchSearch   MemberlistMemberlist   UsergroupsUsergroups   RegisterRegister 
 ProfileProfile   Log in to check your private messagesLog in to check your private messages   Log inLog in 
Log inFast Charts

Estimated OLS of SPX to VIX

 
Post new topic   Reply to topic     PeakTrader.com Forum Index -> Market Forecast
View previous topic :: View next topic  
Author Message
administrator
Site Admin


Joined: 28 Dec 2005
Posts: 11966

PostPosted: Thu Nov 23, 2006 9:33 am    Post subject: Estimated OLS of SPX to VIX Reply with quote

Below is a daily SPX to VIX chart (black dots) with SPX (green line) and VIX (below price chart), since 1990. The gray line is the estimated OLS (ordinary least squares or best fitting line) from 1990 to 2000 (over a structural bull market period). The OLS of the SPX to VIX ratio is upward sloping, because over time SPX will rise, while VIX will trade in a range.

The chart shows the SPX to VIX ratio is at the furthest distance above the OLS line since at least 1990. Also, the steep slope and extended rise, since July, has been the greatest since at least 1990. So, the ratio indicates SPX is severely overbought and there may be little upside short-term. Also, there may be a substantial pullback intermediate-term.

Back to top
View user's profile Send private message
Display posts from previous:   
Post new topic   Reply to topic     PeakTrader.com Forum Index -> Market Forecast All times are GMT - 8 Hours
Page 1 of 1

 
Jump to:  
You cannot post new topics in this forum
You cannot reply to topics in this forum
You cannot edit your posts in this forum
You cannot delete your posts in this forum
You cannot vote in polls in this forum


Powered by PeakTrader 2.0.8 © 2001, 2002