MoPo forecasts updated for this week's VXX and VIX (not the XIV)....12.08.15

As mentioned yesterday here are the new MoPo forecasts for the VIX index and VXX.
Note the attached VDX chart for the VIX also.  The volume toggle has been turned off on the VIX as there is no volume, only open interest, which cannot be tracked by by the VDX.
Time is limited today as I'm on the road and  M3 Insight will be early but tomorrow we'll consider the variations between last week's and this week's volatility MoPo forecasts.
Thursday we'll look at how Barron's 2015 top 10 stocks fared for the year and how M11 could have provided a much more attractive result using a top 2 filter..

Volatility Ponzo studies for VIX index and VXX...12.07.15

Followers of  Mosaic Ponzo (MoPo) forecast charts know they update weekly at Monday's close.
As part of my recent push to refine the  M2  XIV/VXX trading model I have been looking at technical tools that might be useful.
The following are last Monday's updates for the VIX index and the  VIX ETN proxy VXX.
Tomorrow we'll post tonight's update for comparison to check alignment and trend. We'll also be integrating the VDX signals into the M2 platform as a confirming signal.
The focus on this week's posts will be volatility while I work in the background on some M3 site housekeeping and infrastructure upgrades.
Keep in mind that VIX is the volatility index based on S&P put contracts and can only be traded as options or futures.
VXX is an ETN (exchange traded note) that looks like an ETF but is based on VIX futures.  It trades like a stock on huge daily volume (50 million) and has a wide robust option chain that trades narrow spreads with high liquidity. It also trades after hours. Since VXX is based on VIX futures contracts it has an intrinsic decay function that must be respected.  VXX should never be considered as a long term buy and hold product unless the position is short.IMHO.

VDX Updates for SPY, XLU and TLT.....12.06.15

This week's VDX updates reflect Thursday's selloff and Friday's subsequent bounce.
Please be aware that the current market milieu is HIGHLY MANIPULATED and may not necessarily react to technical analysis is the "normal" manner.  If time and space permitted I could post many, many charts of Thursday's action to show how .05% volume moves resulted in 1% price moves and that's not the way we expect price to move.  Nevertheless, caution is the current watchword although the bulls have an historical edge for the next 3 weeks.  The Thursday crash of TLT was overdue but skewed out of proportion to similar fixed income volatility.
Best advice?  Trade small.

M2 Volatility Trader Debuts....12.04.15

Regular readers know I've explored many ways to trade volatility both in conjunction with and separate from equities since there are frequent periods of divergence in the synchronization of price and volatility.  Based on reader feedback I know this is an area of considerable interest.
This new M2 model reflects parallel improvements in the M3 models and has as default inputs XIV and VXX, the VIX  index derived ETNs...highly liquid (almost 100 million shares between them today), penny spreads and, in the case of VXX, a rich option chain with narrow spreads and robust open interest. And here's the best part....XIV and VXX trade after hours with good volume.
Below are screen shots of 3 optional settings for M2  > > > > >
First the momentum based top 1 model.  MN
Then the mean reversion top 1 model.     MR
Then the delta neutral version holding both positions and letting the stops do the work.    DN.
Keep in mind that M2 is trading inputs with beta that may approach or exceed a value of 6 so you have to stay focused and keep your wits about you if reversal days kick in.
Other inputs can be substituted for XIV and VXX but the algorithms are tuned for volatility delta..
M2 will be added to the Mosaic software catalog over the weekend.

Mean Reversion below:

Delta Neutral below:

A Technical Breakdown...12.03.15

Volume was almost double yesterday's and the bulk was to the sell side driven by disappointment with ECB QE inaction and the growing conviction that Dec will see a rate hike.  There was no hiding place for safety...the dollar was down 2% as were bonds and the safe haven of utilities caved in also.
There were some significant technical threshold breakdowns and the limit stops in bonds failed to perform.  The delta neutral models have proven their worth over the past 3 days and as market volatility surges (the VIX was up over 20% today) the risk buffer provided by such a strategy becomes more and more appealing. See today's update.
These are the hourly charts of the UUP (dollar) and TLT (30 year Treasuries).

M11 Prospector Update....12.02.15

The M11 project has taken on new possibilities thanks to beta users input.  Here's the latest version that allows a limit stop to be set for each of the 1-11 inputs. This example is similar to the classic 60/40 stock/bond portfolio allocation widely used in the past by money managers.  This of course is just one mix of equities and bonds but it illustrates the utility of this platform. Coming this weekend.

SPY Ponzo Update Looking BULLISH...12.01.15

This is a bit of a surprise but the latest SPY update is looking bullish for the first time in many weeks..  Of course things could get derailed in a heartbeat on bad news but the French terrorist strikes, the downing of the Russian jet, the ongoing advances of ISIS  and the less than stellar earnings reports have done little to put a hamper on the current mood of muted enthusiasm....so, maybe the Ponzo's onto something.
Today's the first day of the new month and we're seeing green for now but many early green positions have turned negative and the NYAD is not behaving in an enthusiastic manner so caution is advised.