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Thursday, April 5, 2012

VIX: Breakout or Fakeout?

To log or not to log?  Turns out it makes all the difference in evaluating VIX's action today.  In log scale, it came all the way up to its falling wedge upper bound but couldn't seal the deal.

On an arithmetic scale, however, it broke out and stayed out.

Which is right?  Definitely.  That is, it'll be clear in time; but there are no hard and fast rules that I'm aware of.  It always makes sense to look at both in close call situations.

As a general rule, though, I stick with log -- especially when prices have changed dramatically over a relatively long period of time.  Here, VIX fell from 46.88 last October to 13.66 a couple of weeks ago.  I'd say that qualifies.

Stay tuned.

1 comment:

  1. Nice charts...totally agree with you...probably the breakout in VIX will come with the 1385 break in S&P