Trading the VIX.
I had a great week full of ‘ah ha’ moments, mostly provided by my wonderful readers. Firstly, Jim alerted us to the STOCKHISTORY function, then Eric told us about DeepSeek VIX analysis, Baja Pete about the SVIX (the VIX Futures ETF) and George tipped me off about the 50/200 death cross. Eric also told me about the ‘follow through day’ strategy, Jim emailed his options calculator, both of which I have yet to analyze.
STOCKHISTORY
This is absolutely brilliant! If I had known about this last weekend, I wouldn’t have spent hours cleaning the data I scraped off Investing.com and yahoo.com. What a waste of time. A big thank you to Jim.
Here’s how it works: in Excel, the formula to return Date, Open, High, Low, Close, and Volume for SPY from 1004 to today. is
=STOCKHISTORY(“SPY”, DATE(1994,1,1), DATE(2025,4,14), 0, 1, 0, 1, 2, 3, 4, 5)
Here’s the explanation:
- “SPY” — ticker symbol
- DATE(1994,1,1) — start date
- DATE(2025,4,14) — end date
- 0 — daily interval
- 1 — include headers
- 0 — include Date column
- 1,2,3,4 — include Open, High, Low, Close columns
You can, of course, replace SPY with SPYG, QQQ or any other stock ticker, even the VIX. I am so impressed with this, the only downside being that you have to have a later version of EXCEL. Check it out.
Bad Chat
Naturally, after spending hours with ChatGPT scraping and cleaning data, when I read about STOCKHISTORY this I went straight back to him and demanded: Why didn’t you tell me about this???
[Chat] Fair point. Here’s why:
The STOCKHISTORY function was released only in later versions of Excel 365 and wasn’t widely supported or reliable when it first launched. Because of that, I didn’t recommend it previously as it was easier to point people to downloadable CSV data or APIs. But if it works in your Excel version now, it’s an excellent tool.
{Me} (still cross) I wasted my time on all that other stuff!!
I would have preferred a bit more of an abject apology, a little grovelling would have been nice, but that was probably all I was going to get.
DeepSeek
Eric said that he found DeepSeek better at analysis that ChatGPT, so I had to check it out. I had tried to get onto DeepSeek in January, just after NVIDIA tanked, but couldn’t get onto it, (presumably because everyone was trying it out). I joined for a year. I thought I would start with the basics:
October 2023?? That’s funny, that’s what ChatGPT used to say. OK, I thought, work around it. I asked:
Brilliant, I thought. Backtesting made easy. I uploaded an Excel file with SPY data, only to be met with to be met with:
So, just a warning to others.
Maybe I just got it on a bad day.
I’ll check out other things DeepSeek can do and report back, but right now I am annoyed at signing up for a year if the database it is based on is more than 2 years old!
Not helpful.
The VIX as an Indicator
Eric alerted me to using the VIX as an indicator for SPY – and it looks good. I will check it out properly and report back next week. But a word of warning about actually trading the VIX rather than using it as an indicator for the rest of the market.
Volatility – VIX ETFs
Volatility has been spiking recently, and we know that the VIX will sooner or later drop back to around 20 so buying a put cseems logical. Or not. First let’s see how we could do it then decide whether its a good idea..
Baja Pete posted in the comments that he had a strategy for trading the VIX, via the SVIX. This ETF, created in 2022, is based on the VIX futures and is short (i.e. the VIX goes up, SVIX goes down). It is important to note that it is not based on the VIX itself, but on the first and second month VIX futures. It is reset daily (which means it can quickly vary from the underlying) and is suitable for very short term trades, not long term holding.
The SVIX ETF
If you look at the chart below, then you will see that it makes a mirror image of the VIX. You can also see that it is more volatile that the VIX.
The SVXY ETF
There is another ETF, the SVXY which also is an inverse VIX, but is only leveraged at 0.5% or half the leverage of SVIX, so it is not as volatile. Why is it 0.5%? To answer that we need to look at the risks.
Risk & Volatility
If you look at the prospectus of SVIX it says:
If the NAV of the Fund declines by 80% or more from the prior Business Day’s NAV, the Fund will be liquidated and proceeds distributed to shareholders.
Now, an increase in the VIX of more than 80% in a day is a rare occurrence, but it happens.
The predecessor to SVIX, the XIV was wiped out in Feb 5th 2018 when the VIX increased from 17.31 to 38.32, a gain of 115%. That meant XIV dropped by more than 80% (being an inverse fund), the fund was liquidated, and they made a final payout to shareholders of $5.99.
What about the options?
But what happened to the XIV options? Not pretty. Calls become worthless, puts may retain value, but they become illiquid so you can’t sell them.. Market makers are only obliged to maintain continuous quotes during normal trading – i.e. the underlying security is listed, trading and not halted or in liquidation. In other words, the options become worthless.
SVIX and SVXY Spreads
Another problem is the spreads and the strikes. If we take a 6 month to expiry DITM call then the spread is:
The VIX: a calculation, not an asset
The VIX index is a
- A real-time calculation, not a tradable asset
- Based on S&P 500 option implied volatility
- Cannot be directly owned or replicated
Bottom Line:
There is no ETF or ETN that tracks the VIX spot index directly.
The 50/200 Death Cross
This has now happened. It is not an indicator we use – but lots of traders do. As we’ve noted before, these things can become self-fulfilling prophecies. Algorithmic trading can get in on the act, if it is part of their predefined set of rules. It just adds to the current volatility.
To the markets
It’s been a bit of a nothing week. No direction. Let’s look at the charts.
SPY Charts
SPY has been trading steadily within the range of the big green candle on the 9th April. But there’s an encouraging sign: it has been trading in the top half of the candle. It has tested 520 twice and each time bounced to close higher.
Clutching at straws? Possibly. But the long green candle was definitely bullish and subsequent candles holding onto gains and not retracing shows bullish pressure. The bears are not gaining control.
The other interesting thing is the volume, which is lower than on the breakout day. It suggests institutional accumulation, where the ‘smart money’ buys in small increments rather than chasing the price. So technically, this is a bullish signal – but, of course, it would be negated if SPY closes below the midpoint, especially if it is on high volume.
The longer term chart shows that our hopeful support level that we drew in last week is still holding.
SPYG Charts
The daily chart has almost exactly the same pattern as SPY so please read comments above.
SPYG, like SPY, has not broken the possible support level we drew in last week.
QQQ Charts
QQQ also has the same pattern, and like SPY and SPYG is trading in correction territory, but above the bear level
And the longer term chart we can see that it is possibly going to make support at 450. We hope!
VIX Chart
Back at the VIX we see that it is way below its highs, but still more elevated than we would like.
Reading the charts
I sometimes wonder if my reading of the charts is about as useful as haruspex was to the Romans. They read the signs foretelling the future in a sacrificed animal’s liver, lungs and intestines.
We laugh now at anyone taking that seriously – I wonder if in the future people will laugh at our candlestick chart reading.
ITMeter
The week ahead
The Fed Chairman, Jerome Powell, has come in for some criticism from the Trump administration, so that is adding some volatility. The Beige Book (a Fed report published 8 times a year, containing qualitative info, not hard data) is released on Wednesday.
I see that China has halted imports of some US agricultural and energy products which seems an odd thing given that China cannot fully feed its population without importing food. With 18% of the world’s population and only 7% of the world’s arable land you can see the problem.
The Futures
The futures are looking a bit dismal – but it is still more than 7 hours to market open.
It’s hard . .
Sitting on your hands and not trading, but that is what ITM is telling us to do so let’s try to be patient. It is definitely the safest thing to be doing now.
Fingers crossed . . for everything to settle down!
Heather
Trade the tide, not the waves
19 Responses
Hi Heather, re the QQQ,
Your comments about QQQ at the end of ITMB seemed to relate to both bull and bear markets. I may have missed it around here, but I can’t find notes on backtesting QQQ in bull markets.
Any information there?
Thanks,
Bob
Hi Bob – I thought that I answered it. Apologi, all the strategies I propose are ones where your downside is protected. I worry that it is too volatile and too dependent on close monitoring. Even in the ITMB book I suggest (in the chapter on Risk) that you only use half your capital onna bear trade.
I haven’t rigorously back tested ITMB on the bear, while I use the strategy I supplement it with reading the charts – which is not something I can quantify and make rules on.
But look on the bright side – I think (hope?) that we will avoid a bear.
Fingers crossrd, anyway!
h
Well, I’ve reread ITMB (trying to make sure I don’t miss any bear trades). At the end you teased you were backtesting QQQ. Did you ever finish? If so, results? Thanks!
Bob
Bear trading is, as you know, faster and riskier than bull trading. While you can get outsize profits more quickly, you can also go bust more quickly – which is why I suggested (near the end of the bear book, in the bit about mitigating risk) that you should consider only putting a half, or less, of your capital into a bear trade.
Bear markets are also less frequent and not as long lasting as bull trades, so we are basing our strategy on less data. Bear markets are also less predictable than bull markets because they are all triggered by different things. QQQ is more volatile than SPY, so bear trades are riskier.
So, in short, I am not going to recommend any bear trades on QQQ. That doesn’t mean that you shouldn’t check it out for yourself – no doubt someone will make a killing on them just as a lot of people will lose their capital.
The current QQQ bear was very short lived (only 3 days in bear territory) the QQQ bear market in December 2018 (only 2 days in bear territory). It is in response to political factors and as this is an ongoing situation not related to the state of the current economy, and so harder to predict.
I’m going to post an image of the Dec 2018 bear in the next blog and draw attention to these similarities – it may give us hope for the future!
Dear Heather,
Speaking of ITM Bear trades, it is prudent to just use a small portion of our portfolio on it and see how much risk tolerance we can have. Many traders and investors usually cannot handle the stresses of ITM bear trades and also ITM bull trades once the tides go against us during the times when we are losing money.
hi George – yes, i was really hoping we didn’t go into a bear in the next 4 months when I am travelling. I will probably have dodgy comms in a few places so may not be on top of things. A bull market is so much more restful!
h
Dear Heather,
Please enjoy your four months of vacation and hopefully you can write more about your traveling along with your trading and investing weekly blogs. I enjoy reading your traveling stories very much.
Hi George – thank you! I sometimes wonder if I am being self-indulgent writing about my travels but nice to hear that someone likes it!
Merci Beaucoup!
A Bientot!
h
Hello Heather, Just wondering if you are familiar with the concept of the “follow through day” developed by William O’Neil, founder of IBD?
It’s a pretty powerful concept for helping determine market turning points.
There’s plenty of info on Google, but I’ve done a little AI work on it and you can read about it here:-
https://bit.ly/4lBkbSN
This was done through Gemini, but I used ChatGPT, Perplexity and DeepSeek as well. I’m not happy that the data is hypothetical after 2022. We could do better, but you’ll get the idea.
Just as a side note, your example in your blog of the comparison large bar that occured on 13th October 2008 did not qualify as a FTD due to low volume, but the one on the 9 th April 2025 did.
HI Eric
Sorry took so long to reply but have had to do a bit of digging and comparisons of numbers.
I’ve looked at the original study, and the update in Forbes on March 7 2025.
My problem with the strategy is less in the idea, but in the application. On checking back at random on three of the designated FTDs (from 2009, 2022 and 2023) I came across the following irregularities:
Mar 23, 2009 – why wasn’t Day 6, 17 March with a rise of 3.06% and increased volume chosen?
Oct 21, 2022 – Why wasn’t 24 June chosen after a drop of 20.73% and a day rise of 3.18% and a higher volume than the day before?
Nov 6, 2023 – High 457.79 correction level: 412.01 Low 410.68 only 1 day below correction level of 412.01, max drop 10.29%. Day 4 increase of 1.9% on higher volume, day 7 increase 0.28% why was day 7 chosen?
I understand that the data for this year was an estimate so I haven’t gone there, other than to say that 24 March with a day rise of 1.8% and above average volume, and that hasn’t done so well.
I very much subscribe to everything being clearly defined and accurate, so that any 2 people following the same rules will come up with exactly the same answer. FTD seems to have too much of the ‘art’ and not enough hard data in it.
I know that it is easy to be swayed by something that looks scientific, and assume that the figures are accurate – but I always check and as yet (apart from ITM) have not found anything that is accurate and objective enough for my liking.
However, having said that, many people do think that trading is an art, and some of them do very well, so who am I to say they are wrong? I don’t have my chateau on its own island and helicopter yet! I really wish you had a magic bullet – been looking for it a long time – but I don’t think this is it.
h
Hello Heather,
I don’t put a lot of faith in AI for this type of statistical analysis. The main objective was for the awareness factor. I thought the synopsis that Gemini generated was quite good, but the analysis that ChatGPT did had much to be desired.
I had a look at the dates that you mentioned and annotated three charts with my interpretations. Your data must be different to that of TradingView. The 17th March 2009 shows a marked decrease in volume from the previous day. (6.16B to 7.88B the previous day). There may be other anomalies but I haven’t checked.
You can find my charts here:-
https://bit.ly/3RtVj1C
https://bit.ly/42pINqh
https://bit.ly/4jLiIrA
It might not be the holy grail, but I quite like the concept and think it has merit.
Regards,Eric
PS. Last night could be considered a FTD. Up 1.7 percent from the previous day’s close on higher volume than the previous day, although it was a red candle, it still meets the criteria. (place your bets on the bulls taking control!!)
Hello Heather,
Sorry to hear of your DeepSeek experience. This AI stuff can be pretty moody!!
A little more validation of a pending market bottom can be seen on the bulls vs bears sentiment indicator,
https://bit.ly/42FeydB
Regards,
Eric
Hey Eric – just had a look, seems to have picked the last one, I hope – fervently – that you are right and we don’t see a bear!
Thank you!
h
When you have a working Excel StockHistory spreadsheet could you post a link to it?
HI Baja – it is above and beyond the call o0f duty, but I have done it – it is under backtesting.
h
Within Google Sheets, there are similar functions to retrieve stock history. The following is one website that documents this capability:
https://umatechnology.org/how-to-use-googlefinance-to-track-stocks-in-google-sheets/
Although this and the Microsoft Excel function are both useful, I like the Yahoo Finance availability of “adjusted” SPY data that incorporates dividends.
Enjoy!
Thank you Vern – I haven’t used Google Sheets, but probably other traders do, so thank you!
Re the adjusted data on Yahoo – i used to find that very useful, but they rmoved the downloads a while ago and now they have changed their website so that you cannot easily copy and parts – I had tp get into devloper tools, then use the outerHTML function and scrape it from that. If you know an easier way then please let me know because this is messy.
Thanks!
h
In Excel, you can also have it insert other stock data. To create a stock cell, put the ticker for the stock in a cell and then open the Data tab and select Stocks. It should then open a Data Selector window from which you can select which stock you want to be associated with that cell. You can then click on which one you want and click on Select at the bottom or make an additional selection of what data you want to be put in the adjacent cell, and then click on Select. To add additional data on that stock, go to the cell where you want the data, type “=cellname.” at which point it will give you a dropdown list of stock parameters to select from. (cellname here should look something like A2, or D3, etc, followed by a period.) There are many parameters to select from, including (current) price, 52 week high, volume, etc. If you select price, it is always the (somewhat) current price, but is delayed. I think this feature should be available in all versions of Excel, but I’m not sure. I used it decades ago, so it is definitely not a new feature.
– Jim
Tyank you Jim, I’m off to try it now!
h