Sunday, July 26, 2009

Bullidex since 1996

as regular readers Know, one of my favorite indicators is the Bullidex, devised by Chuck at Smoking Securities.

now Chuck does a great job analyzing his creation, and I recommend reading the SS blog for the latest updates (here's the most recent). but this afternoon I wanted to get a long term picture of the Bullidex compared to the actual price movements of the Stock Markt. it occurred to me though that the methodology of the VIX was changed in September 2003 to include the entire S&P 500. before then the VIX measured volatility of just the S&P 100. but luckily the old VIX is still calculated under the ticker VXO. so I have, in the interest of continuity, substituted VXO for VIX, and BPOEX for BPSPX, for a Bullidex of $BPOEX:$VXO instead of $BPSPX:$VIX.

here is a chart of the 'legacy' Bullidex (blue area) since 1996. the OEX is overlaid (green dashed line).

(click to enlarge)

and below is the indicator with OEX overlay for every calander year, starting with 1996.