Archive for the ‘Volatility’ category

Member's post - Nifty Vix

Attached is the chart of India Vix which clearly shows that rise in volatility from the bottom around 20 levels till 32 is clearly a five wave advanced. And recent drop in Volatility is the expanded flat a-b-c, which is wave 2 or wave B, which is the current state of the market showing narrow trading range and dull price movement. But the principle of volatility says contraction in volatility is generally followed by the expansion in volatility. Same way once the wave B (or Wave 2) of Vix completes then wave C (or wave 3) should resume which is likely to target 43.


Volatility and sleeping markets

Question: Are American and Indian markets sleeping?
Answer: Yes they are because in the last 20 days indices have moved a marginal 1%.

Question: How can we define sleeping markets statistically and psychologically?
Answer: Low volatility is a statistical way to explain the lackluster nature of the market. Low volatility is seen across global equity today. Low volatility is a sign of complacency that the worst is over. “Now we really can’t get back into the crisis”. “Crisis is behind us”. These are the inflexion points where markets face a surprise as volatility rises.

Question: One could say that Romanian markets are not sleeping as there is no volatility indicator?
Answer: Incorrect. Reuters has a statistical volatility indicator. A similar behavior like India and America, low volatility is happening in Romania too.

Question: How can one explain the market view based on the above volatility stats?
Answer: If volatility is about market activity, complacency and about cyclical statistics (after low volatility comes highs volatility) then the rise from Mar 09 low to nearly Feb 10 makes the current leg 11 month old. After 11 months complacency and drop in market activity cannot be considered positive. It is indecision. After low volatility comes high volatility and rise in volatility is generally a sign of fear not confidence. In conclusion we are heading into a time of rising volatility and exhaustion of the trend from Mar 09.

Romananian Statistical Volatility touches base

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Dow - Volatility Cycles

Foundation of Cycles