VIX volatility index shown with the S&P, with the VIX divided by the 3 month VIX, Keltner bands, and a regression channel drawn from the March 2022 high of the VIX.
For those that aren’t familiar, the VIX is an expectation of volatility based on S&P options. It can be used to forecast a change in price that can go in either direction. The range that the VIX moves changes over time, so we are using two methods to determine when its movement is outside of its current normal range.
The regression channel gives us a fixed range from the last major change in trend for the VIX. The Keltner bands calculate the distance between price and a moving average. When the upper band exceeds the channel we are close to a change in trend for the S&P. When the upper band peaks and rolls over we confirm that the S&P trend has reversed.
The VIX/VIX3M gives insight into how investors feel about the current state of the market versus the future. For the past 2-3 years a move close to 1 or 0.8 indicates that we are close to a change in direction.
The upper band has pieced the channel, suggesting that we are near the end of the current downtrend.
VIX
SPX
For those that aren’t familiar, the VIX is an expectation of volatility based on S&P options. It can be used to forecast a change in price that can go in either direction. The range that the VIX moves changes over time, so we are using two methods to determine when its movement is outside of its current normal range.
The regression channel gives us a fixed range from the last major change in trend for the VIX. The Keltner bands calculate the distance between price and a moving average. When the upper band exceeds the channel we are close to a change in trend for the S&P. When the upper band peaks and rolls over we confirm that the S&P trend has reversed.
The VIX/VIX3M gives insight into how investors feel about the current state of the market versus the future. For the past 2-3 years a move close to 1 or 0.8 indicates that we are close to a change in direction.
The upper band has pieced the channel, suggesting that we are near the end of the current downtrend.
VIX
SPX