Tag Archives: VIX

Homebrew Correlation Indicator

The CBOE index of implied correlation made the news recently, with a high of 72.  This index, JCJ, is not as well-known as the one for implied volatility, but the two are linked. Low correlation suppresses volatility, due to the … Continue reading

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Thoughts on Correlation

Mean reversion is aided by volatility, and momentum trading is aided by relative strength.  I have been exploring the distribution of relative strength.  Market strength and breadth are handily characterized by the mean and standard deviation of this distribution.  It … Continue reading

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Thoughts About Volatility

Back in September, I was testing the Connors RSI pullback strategy, and I posted an observation that the strategy performs best in a volatile market.  Volatility gives you the setups, and mean reversion gives you the profits.  If the market … Continue reading

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