Brent is simply an expert who has an excellent methodology and excellent track record of following trends and out performing. I wish I would just stick to his calls and not do much else
Percentile rank is easy to calculate in Excel. You just use the simple function: =percentrank(A:Z,Z) where A is the start of the data and Z is the end of the data and the current value. It just ranks where today's value is in comparison to all previous values since inception to give you an idea of where the current value is in relation to history. Absolute values aren't really meaningful in many cases because most things in investing are relative. So percent rank is a good way of figuring out the relative values over time. V is just a simple calculation of the absolute value. So if we're talking about the VIX9D:VIX ratio, it's just calculating how much over or under the VIX the VIX9D is.
Hi, that's great and immensely helpful! However, I noticed that the value of VIX9D and VIX are different from the values found at CBOE ot Tradingview?!? For example the closing values for VIX9D for 19 Feb (8:22 min) 20 Feb (8:27 min) and 21 feb (8:32 min) are at 11.88, 13.86 and 15.77 on CBOE and Tradingview while you have them at 12.11, 12.60 and 17.10. Obviously the values you calculate with are of material importance so would you care to elaborate? Thanks!
I answered this in your email but thought maybe other people may be curious as well, so same answer: I compile all the data for the VTS Volatility Dashboard right before I send out the daily email, so everyone has the most up to date information. That means that the data I'm including in all the daily trade signal emails will not match up exactly with the end of day prices you are seeing in your trading software. - I compile all the volatility data around 11:00 am eastern time - I send out the VTS email around 11:30 am eastern time So we are essentially using the most up to date intraday data for our trade signals, which will be slightly different than the end of day data that you find online.
Does the Cash VIX term structure tell you anything that the normal VIX term structure doesn't? Your analysis makes sense, but is it redundant given the VIX term structure probably did the same thing over the same time frame?
It does give different timing on signals for different reasons. The VIX futures are freely traded products based on buying and selling. The VIX, and Cash VIX term structure is based on S&P 500 options activity. So it's getting signals from two entirely different places. Now there's definitely correlation, as there is with all volatility metrics. But they are different enough that mining signals from both places improves signals a lot.
You mean in this recent crash? We have three tactical strategies and they all have full safety, partial safety, and then full equities positions. All three of them were in their partial safety, which would be things like IYR real estate and XLU utilities, both go up with stocks so we participated there. As to full on 2x equities, we started getting those signals last week. It's my method of getting exposure to market recoveries and participating in bounces like that, without getting too aggressive incase it's just a dead cat bounce. Kind of a middle ground, and I only go full on aggressive with double leverage when volatility calms down a bit.
Brent, thanks a lot for this! As a newbie it appears to me that futures and cash term structure are almost the same. Is there any significant difference between the information you can get from them?
They do appear similar, but the underlying is entirely different. VIX futures term structure is based on VIX futures contracts. Cash VIX term structure is calculated based on S&P 500 options So utilizing both in an investment strategy is wise because it's getting information from both the VIX futures market and the S&P 500 options market. Then add 10-12 other volatility metrics to the equation and now you're really on the right track! :)
In a rational environment, they will be very close. Otherwise, there would be numerous ways to arbitrage the different Implied volatilities that deviated from the norm. I don't track it but if I noticed a significant difference it would scare the crap outta me. Because that means something in the financial markets is broken.
Wow, I'm such an amateur in making videos I rarely get people ask stuff like this :) For the last 7-8 videos It's the new Rode NTG shotgun mic. I was using the Deity D3 Pro shotgun, but the new Rode NTG can also be used as a USB mic so when I'm doing anything with voice over, now I use the same mic so the sound is consistent. I'd highly recommend it, it was only about 300$ and it's both shotgun and USB so definitely good value.
Probably a silly amateur question, but I have my investments in mutuals at a bank. Could I be using your information and have them move to different mutuals or is this mainly for individual stock trading?
My volatility metrics can be used for any style of investing because the signals work for all asset classes. The issue you will face is, you may have rules of your actual account type that limits your ability to move in and out of assets quickly. My investing requires the ability to move out of aggressive positions and into safety positions in a single day. I have to remain nimble. For example, I moved my entire portfolio from aggressive to safety in 1 day on February 21st. I saw the signs escalating and moved to safety in a day. Sometimes investments in mutual funds or bank instruments have rules against it, wash sales, T+2 settlement rules, lockout periods, or just delays due to the availability of advisors to help you. So in short, my signals work for everything, but account structures can be a limiting factor. You'd have to check with your institution to see how feasible it is.
Can you please help me make things clearer? In one of your videos you said that the VIX is the percentage of where the market is expected to be in a year and gave the equation to calculate it for month/week/day. But in this video you say that VIX is the expectation for the next 30 days. so I don't understand...
The VIX is always a calculation based on 30-day options on the S&P, so often times it's stated as a 1 30-day forward volatility measure. However it is annualized to 1 year which is why semantics wise sometimes it's confusing. So the VIX values are calculated based on 30 day options but the VIX value itself is annualized to 1 year and how much the S&P is expected to move + or - in 1 year. Then we divide by the square of the period we're trying to normalize it to.
@@VolatilityTradingStrategies so let me see if I got it right. for example, the VIX9D is the volatility of sp500 in next next 9 days, but is calculated based on the expiration of options of the next 30 days? thnks
Do you mean specifically in the VIX? Because the VIX isn't tradable, you can't buy or sell it so it requires using the VIX derivative products, or VIX options and futures. If that's what you mean, then yes I do still trade the VIX complex. This high volatility has some opportunity in there.
For lots more of my Volatility Trading info: www.volatilitytradingstrategies.com/volatility-dashboard
I like that this goes behind the science of it all
Brent is simply an expert who has an excellent methodology and excellent track record of following trends and out performing. I wish I would just stick to his calls and not do much else
Hi Brent, How do you calculate your PR and what is the meaning behind it, and how about V ?
Percentile rank is easy to calculate in Excel. You just use the simple function: =percentrank(A:Z,Z) where A is the start of the data and Z is the end of the data and the current value. It just ranks where today's value is in comparison to all previous values since inception to give you an idea of where the current value is in relation to history. Absolute values aren't really meaningful in many cases because most things in investing are relative. So percent rank is a good way of figuring out the relative values over time. V is just a simple calculation of the absolute value. So if we're talking about the VIX9D:VIX ratio, it's just calculating how much over or under the VIX the VIX9D is.
Hi, that's great and immensely helpful!
However, I noticed that the value of VIX9D and VIX are different from the values found at CBOE ot Tradingview?!? For example the closing values for VIX9D for 19 Feb (8:22 min) 20 Feb (8:27 min) and 21 feb (8:32 min) are at 11.88, 13.86 and 15.77 on CBOE and Tradingview while you have them at 12.11, 12.60 and 17.10.
Obviously the values you calculate with are of material importance so would you care to elaborate? Thanks!
I answered this in your email but thought maybe other people may be curious as well, so same answer: I compile all the data for the VTS Volatility Dashboard right before I send out the daily email, so everyone has the most up to date information. That means that the data I'm including in all the daily trade signal emails will not match up exactly with the end of day prices you are seeing in your trading software.
- I compile all the volatility data around 11:00 am eastern time
- I send out the VTS email around 11:30 am eastern time
So we are essentially using the most up to date intraday data for our trade signals, which will be slightly different than the end of day data that you find online.
Interesting indicator thanks.
thank you for such great info!! is there a website that tracks the Cash VIX Term Structure in a graph shape, like the VIX future term structure?
For VIX futures term structure you can check out vixcentral.com.
@@VolatilityTradingStrategies this I know. I meant the vix CASH term structure. is there a active graph for that?
Great video!
Does the Cash VIX term structure tell you anything that the normal VIX term structure doesn't? Your analysis makes sense, but is it redundant given the VIX term structure probably did the same thing over the same time frame?
It does give different timing on signals for different reasons. The VIX futures are freely traded products based on buying and selling. The VIX, and Cash VIX term structure is based on S&P 500 options activity. So it's getting signals from two entirely different places. Now there's definitely correlation, as there is with all volatility metrics. But they are different enough that mining signals from both places improves signals a lot.
When did u get into equities after crash
You mean in this recent crash? We have three tactical strategies and they all have full safety, partial safety, and then full equities positions. All three of them were in their partial safety, which would be things like IYR real estate and XLU utilities, both go up with stocks so we participated there. As to full on 2x equities, we started getting those signals last week. It's my method of getting exposure to market recoveries and participating in bounces like that, without getting too aggressive incase it's just a dead cat bounce. Kind of a middle ground, and I only go full on aggressive with double leverage when volatility calms down a bit.
Brent, thanks a lot for this! As a newbie it appears to me that futures and cash term structure are almost the same. Is there any significant difference between the information you can get from them?
They do appear similar, but the underlying is entirely different.
VIX futures term structure is based on VIX futures contracts.
Cash VIX term structure is calculated based on S&P 500 options
So utilizing both in an investment strategy is wise because it's getting information from both the VIX futures market and the S&P 500 options market. Then add 10-12 other volatility metrics to the equation and now you're really on the right track! :)
In a rational environment, they will be very close. Otherwise, there would be numerous ways to arbitrage the different Implied volatilities that deviated from the norm. I don't track it but if I noticed a significant difference it would scare the crap outta me. Because that means something in the financial markets is broken.
Will ETFs like tvix and uvxy see a bounce back this week?
no
See my latest video: ua-cam.com/video/NItbEBTuknM/v-deo.html
I love the punch in audio on your videos. What Mic do you use? Thanks!
Wow, I'm such an amateur in making videos I rarely get people ask stuff like this :) For the last 7-8 videos It's the new Rode NTG shotgun mic. I was using the Deity D3 Pro shotgun, but the new Rode NTG can also be used as a USB mic so when I'm doing anything with voice over, now I use the same mic so the sound is consistent. I'd highly recommend it, it was only about 300$ and it's both shotgun and USB so definitely good value.
@@VolatilityTradingStrategies thanks for sharing!
Probably a silly amateur question, but I have my investments in mutuals at a bank. Could I be using your information and have them move to different mutuals or is this mainly for individual stock trading?
My volatility metrics can be used for any style of investing because the signals work for all asset classes. The issue you will face is, you may have rules of your actual account type that limits your ability to move in and out of assets quickly. My investing requires the ability to move out of aggressive positions and into safety positions in a single day. I have to remain nimble. For example, I moved my entire portfolio from aggressive to safety in 1 day on February 21st. I saw the signs escalating and moved to safety in a day. Sometimes investments in mutual funds or bank instruments have rules against it, wash sales, T+2 settlement rules, lockout periods, or just delays due to the availability of advisors to help you.
So in short, my signals work for everything, but account structures can be a limiting factor. You'd have to check with your institution to see how feasible it is.
Can you please help me make things clearer? In one of your videos you said that the VIX is the percentage of where the market is expected to be in a year and gave the equation to calculate it for month/week/day. But in this video you say that VIX is the expectation for the next 30 days. so I don't understand...
The VIX is always a calculation based on 30-day options on the S&P, so often times it's stated as a 1 30-day forward volatility measure. However it is annualized to 1 year which is why semantics wise sometimes it's confusing. So the VIX values are calculated based on 30 day options but the VIX value itself is annualized to 1 year and how much the S&P is expected to move + or - in 1 year. Then we divide by the square of the period we're trying to normalize it to.
@@VolatilityTradingStrategies so let me see if I got it right. for example, the VIX9D is the volatility of sp500 in next next 9 days, but is calculated based on the expiration of options of the next 30 days? thnks
@@VolatilityTradingStrategies so whats the difference between VIX and VIX1year ?
In your personal opinion would you invest right now in Vix?
Do you mean specifically in the VIX? Because the VIX isn't tradable, you can't buy or sell it so it requires using the VIX derivative products, or VIX options and futures. If that's what you mean, then yes I do still trade the VIX complex. This high volatility has some opportunity in there.
Why tvix is not going up? Because investors do not think market will change greater than what it already has which is 60% up or down.
Pure Physical Gold....
Thanks!
Will TVIX go back up?
no
ua-cam.com/video/NItbEBTuknM/v-deo.html
VTS - Brent Osachoff Thank you! Just wondering what’s the highest TVIX can theoretically go? It’
Better buy gold and silver! Mining stocks are going to be huge 🤑💪💥
They could, with all the monetary policy decisions the last few weeks, I could see that...
Thank you. sir