Dow Close (Mon) 8,564.53 65.15 (-) vol. 329.85M
Dow Close (Fri) 8,629.68 64.59 (+) vol. 331.25M
S&P 500 (Mon) 868.57 11.16 (-)
VIX (Mon) 56.76 2.48(+)
VIX (wk-avg) 56.175
Oil (Mon) $45.09
[more will be written tomorrow]
U.S. Treasury
BenchMarks 12/15/2008
1 Month Bill 0.01% 0.00
3 Month Bill 0.03% 0.03
6 Month Bill 0.22% -0.02
2 Year Note 0.74% -0.03
5 Year Note 1.49% -0.05
10 Year Note 2.51% -0.04
30 Year Note 2.97% -0.04
Quotes
[1]
U.S. stocks end lower amid worries of Madoff fraud fallout - MarketWatch
[2]
Stocks fall as firms detail exposure to Madoff - MarketWatch
Graphs
[1]
[2]
[3]
Dow Close (Fri) 8,629.68 64.59 (+) vol. 331.25M
S&P 500 (Mon) 868.57 11.16 (-)
VIX (Mon) 56.76 2.48(+)
VIX (wk-avg) 56.175
Oil (Mon) $45.09
[{recap}Historical charts sets the environment (context) for which analysis needs to be done. This means that because the VIX starts after the beginning of the Dow, the VIX historical chart [g2] sits within the context of the Dow [g1]. Here's were things get tricky, not all technical analysis is the same. There are two fundamental divides; 1) physics and 2) mathematical. Under physics, models cannot be purely mathematical, but must be an approximation of reality. However, this does not hold for mathematical models. The statistics that the public sees in the media is of the mathematical model, and noth the physics model. The problem here, effects in the model, may not be real - but generated by the mathematics. This is how the VIX and options traders could miss the Oct 2008 market collapse. --- [g1] shows us what a long term recession, like the 70's looks like, and it showed the 81-82 recession. However, beyond that, economic conditions were not as obvious, and at the time, neither were any of the recessions. This now takes us further into technical analysis of the market. The technical analysis is basically - math and graphs. On the more extreme end is probability theory and a mathematical model of the market. This comes with the introduction to the VIX [g2]. {recap}]
Physics and mathematics overlap in many areas, so there will be similarities in approach. The VIX begins at 1990 [the left margin] and in standard mathematics is the origin. However, because we are building a dynamic model, the origin is not static, but moves with the right most side of the graph. The graph (for those who can't remember their math) is also called a function. What we have to do (in this analysis) is quantify human behavior - analyze the economy on the numbers, not by theory. Using the VIX historical we look for a function (graph) that approximates what we see. The VIX approximates a trig function. [g3] This is were mathematics departs from physics. The graph [g3] is an approximation, and the points above and below the function, represent the unknown - or uncertainty. In physics, the observation of order and structure is dependent on scope (or focus). For example, gold looks different using the eye (one focus) as compared to an electron microscope, and yet still different from the atomic level. This means, for physics, errors (of the normal function) are not just errors to be ignored, but anomalies to be explored.
Using VIX approximate trig function, we can make an initial determine that normally the VIX oscillates between a low of 10 and high of 30. This put the weekly VIX average above (or off) the function. It can further be said that we are in a more volatile economic market, even though the average (on a weekly scope) now represents a flat market. It also means that calls like quote [1 , 2] need to be understood within this context. The Madoff fraud, so far, has not had a significant effect on the market (as to move the market outside of the flat range). However, we do see, on the historical graph of the VIX, a massive sudden anomaly near Oct 2008 (range on the x-axis is; major ticks are 1 year and minor ticks are 1/2 year). The sharp move to slightly above 80, come about 1/2 way between the 08 minor tick and the 09 major tick.
Physics and mathematics overlap in many areas, so there will be similarities in approach. The VIX begins at 1990 [the left margin] and in standard mathematics is the origin. However, because we are building a dynamic model, the origin is not static, but moves with the right most side of the graph. The graph (for those who can't remember their math) is also called a function. What we have to do (in this analysis) is quantify human behavior - analyze the economy on the numbers, not by theory. Using the VIX historical we look for a function (graph) that approximates what we see. The VIX approximates a trig function. [g3] This is were mathematics departs from physics. The graph [g3] is an approximation, and the points above and below the function, represent the unknown - or uncertainty. In physics, the observation of order and structure is dependent on scope (or focus). For example, gold looks different using the eye (one focus) as compared to an electron microscope, and yet still different from the atomic level. This means, for physics, errors (of the normal function) are not just errors to be ignored, but anomalies to be explored.
Using VIX approximate trig function, we can make an initial determine that normally the VIX oscillates between a low of 10 and high of 30. This put the weekly VIX average above (or off) the function. It can further be said that we are in a more volatile economic market, even though the average (on a weekly scope) now represents a flat market. It also means that calls like quote [1 , 2] need to be understood within this context. The Madoff fraud, so far, has not had a significant effect on the market (as to move the market outside of the flat range). However, we do see, on the historical graph of the VIX, a massive sudden anomaly near Oct 2008 (range on the x-axis is; major ticks are 1 year and minor ticks are 1/2 year). The sharp move to slightly above 80, come about 1/2 way between the 08 minor tick and the 09 major tick.
[more will be written tomorrow]
U.S. Treasury
BenchMarks 12/15/2008
1 Month Bill 0.01% 0.00
3 Month Bill 0.03% 0.03
6 Month Bill 0.22% -0.02
2 Year Note 0.74% -0.03
5 Year Note 1.49% -0.05
10 Year Note 2.51% -0.04
30 Year Note 2.97% -0.04
Quotes
[1]
U.S. stocks end lower amid worries of Madoff fraud fallout - MarketWatch
[2]
Stocks fall as firms detail exposure to Madoff - MarketWatch
Graphs
[1]
[2]
[3]
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