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Previous $VXO/$VIXMO Sell Signals (Preview)

By Lawrence G. McMillan

I thought it might be interesting to see how previous $VXO/$VIXMO sell signals have played out.  We have written plenty about this particular signal, which occurs very rarely – only when $VIX is near the 10 area, which is had been for a while now.  The actual signal is this: 

when $VXO closes below 10 and $VIXMO closes below 10.5,
that is a short-term sell signal for the stock market.  

Once the signal is given, $SPX usually declines sharply, almost immediately, but the decline is short-lived.

Consecutive Days above the +4σ “modified Bollinger Band”

By Lawrence G. McMillan

The $SPX Index has stayed above the +4σ “modified Bollinger Band” since Feb 13th – a total of 13 trading days and counting.  This is rather rare, so we thought it might be interesting to see just how unique this is – and to see what happened at similar stages in the past.  In the following paragraphs, “days” refers to trading days.

Tag! You’re Not It – Yet (Preview)

By Lawrence G. McMillan

The S&P 500 index ($SPX) has tagged its upper “modified Bollinger Bands” (mBB) a couple of times recently, but in neither case was a sell signal triggered.  So far, this has been the “correct” move, as $SPX has moved higher.  Eventually, though, this sell signal will take place, and one should be prepared to act on it.  Figure 5 shows a close-up of the recent action in $SPX.

Thanksgiving Trading System (Preview)

By Lawrence G. McMillan

Even though we are not planning a full newsletter next week because I’ll be on a ship (and I don’t know how good the internet connection will be, either), we do want to update our Thanksgiving-based trading systems.

For the sake of brevity, we won’t detail the “3 days before Thanksgiving” or the “day after Thanksgiving” trading systems – if you want to call them that.  They are not profitable, no matter how hard you want to stand on your head to interpret the data.

2017 Heating Oil – Gasoline Spread (Preview)

By Lawrence G. McMillan

This has been a successful seasonal trade in many years, and last year was the second best year in our history. We have used this in 22 of the past 23 years – skipping only 1995, for reasons which I no longer recall.

In this trade, we buy RBOB Gasoline futures and sell Heating Oil futures. This is the simplest way to establish the spread, eschewing futures options and ETF options – the options are just too illiquid in the February contracts, which is what we use for this spread.

“Slow” $VIX Spike Peak Buy Signals (Preview)

By Lawrence G. McMillan

The $VIX “spike peak” buy signal that is in place took four trading days to confirm.  That is, $VIX spiked up to an intraday high of 17.95 on October 13th, but it did not complete the signal (by closing below 14.95) until October 19th – four trading days later. We are used to seeing $VIX spike up and right back down again, giving these buy signals on the same day that the intraday high was reached, or perhaps the next day. 

2016 October Seasonal Trade (Preview)

By Lawrence G. McMillan

The time of the year for the October seasonal trade is at hand. This is one of our best seasonal trades – to buy “the market” at the close of trading on October 27th, and to sell the position at the close of trading on November 2nd.  However, we do not take the trade in years when there was not a pullback in October.

The Condor Index $CNDR (Preview)

By Lawrence G. McMillan

The CBOE recently listed a Condor Index (symbol $CNDR).  It is a benchmark index designed to track the performance of a hypothetical option trading strategy that sells a rolling condor spread.  The index uses $SPX options, which settle for cash on a monthly basis (“a.m.” settlement).   The hypothetical spread is rolled monthly.

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