Vix Futures -

Larry McMillan's Vix Study:
Vix Futures as a Technical Indicator
Use near-term contract only; CLOSING prices
If premium > .85, expect a market decline
If premium < -0.85, expect a market rally
Exit at close of first day

Buy Signals: March 2004 - Dec 2007
72 trades: 46 wins (64%)
Avg winning trade: +11.1 $SPX points
Avg losing trade: -11.2 $SPX points

Sell Signals: only when VIX > 14
28 trades :13 wins (46%)
Avg winning trade: + 8.2 $SPX points
Avg Losing trade: -4.6 $SPX points

A significaant example:
On Monday, 11/12/07:
$VIX = 31.09 Nov VX Futures = 27.67 Discount = 3.42 points!
Next day, Dow was up 329 points!
JJ