Friday, December 7, 2012

VIX-Trading Portfolio Update 12/7/12

I have to say that I am somewhat disappointed in timing of some recent trades. Although I think the call will ultimately pan out, it does help reporting on poor performance. With that said, the VIX Trading Portfolio lost ground to market in this week's trading, primarily due to doing short the S&P 500 mid-week. This can be seen in the below chart and divergence in the performance of the dark blue line (portfolio), the S&P 500 (green) and the NASDAQ (brown). For the week, the portfolio lost 1.3% versus a 0.13% gain on the market.

graph of fund vs. market indexes


The VIX has pulled backed in recent days and the standardized data has also regressed from sell levels. That said, the look back period is losing past buy indicators while the sell indicator remains in the look back period. In addition, I am seeing far more high volume sell offs versus new high volume highs. This with other technical indicators leads me to conclude that the rally since early November will fail.

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