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« August 20th Blogger Sentiment Poll | Main | Sector Trading Envelopes »

Comments

Why were these VIX spikes not included in your study?
@ 102%
May 5, 2006...Vix close 11.62
June 14, 2006...Vix close 23.81
and by lowering the bar to 98%,
Feb 16, 2007...Vix close 10.02
March 5, 2007...Vix close 19.63

BZBtrader:
To find the spikes we ran a 20% filter on the VIX. This provided us with periods where the VIX went up at least 100%, without a decline of 20% on the way up. In effect, the "spikes" we list above are more or less straight up without a significant decline. Hope this clarifies.

--Cleve

the one Who controls the past controls the future; who controls the present controls the past.

Our environment, the world in which we live and work, is a mirror of our attitudes and expectations.

who controls the present controls the past.

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