Sunday, March 22, 2015

2015.03.20 VIX Cycle Model Chart

2015.03.20 VIX Cycle Model Chart

















The VIX cycle model suggests rising pressure for a strong VIX reversal to the upside, with a Z-score >3.  Since June, 2014 there have been a series of "higher lows" in line with the cycle model, which unfortunately cannot capture the up and down short term spikes.

3 comments:

rotrot said...

once again you have produced a reasoned forecast that is clear and concise...keep up the great work!

ezkappdo said...

I would say that if the US market are going to correct down into an intermediate cycle low soon, and currencies reverse with a improvement in commodities over the next 4-6 weeks, all your charts would seem to align though somewhat early in their expectations. Hope your cycles are correct.

Anonymous said...

Top notch Paolo! :-) Based on various conventional measures and analyses, alongside your model, I've opened a VIX long until mid-May. I expect a test of ATHs at some point in the next several sessions, so my timing is likely out, but bottom calling is not my forte.

Gold longs are doing okay, though some backfilling wouldn't be unexpected.

Mr. Anon