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Crude Oil Volatility (OVX) - 16th October 2023 | @ 53 Days
Last trade: + 39.89% | 'A' class signal detected in CBOE Crude Oil Volatility Index. Average wavelength of 53 days over 15 iterations since July 2021. Currently peaking.
The OVX, or CBOE Crude Oil Volatility Index, measures the market's anticipation of future fluctuations in crude oil prices. It is calculated based on the prices of options contracts for oil, which are used by investors as insurance against price swings. Higher OVX values indicate increased expected volatility, reflecting uncertain market conditions, while lower values suggest a more stable outlook. The index provides valuable insights into investors' sentiment and risk perception regarding oil prices.
ΣL Cycle Summary
This beautiful and spectrally isolated signal in the Crude Oil Volatility index has surged over recent weeks, heading into a now imminent peak over the next few days. The time series is typified by sporadic surges of amplitude which are timely and readily detected by our time frequency analysis. It will be interesting to observe whether the downleg of this component around 50 days is equally as high in amplitude. Certainly past spikes in the sample suggest it may well be. We have upgraded this signal to an ‘A’ class due to it’s superb stationary characteristics over time.
Summary of the most recent trade enacted with this signal and according to the time prediction detailed in the previous post for this instrument, linked below.
Type: Buy - Crude Oil Volatility 25th September 2023
Entry: 25th September 2023 @ 30.96
Exit: 16th October 2023 @ 43.31
Current Signal Status
Defining characteristics of the component detected over the sample period.
Time Frequency Analysis
Time frequency charts (learn more) below will typically show the cycle of interest against price, the bandpass output alone and the bandwidth of the component in the time frequency heatmap, framed in white. If a second chart is displayed it will usually show highpassed price with the extracted signal overlaid for visual clarity.
Current Signal Detail & Targets
Here we give more detail on the signal relative to speculative price, given the detected attributes of the component. In most cases the time target to hold a trade for is more important, given we focus on cycles in financial markets. Forthcoming trough and peak ranges are based upon the frequency modulation in the sample (learn more).
Phase: Peaking / Peaked
FM: +- 4 Days
Next Trough Range: 10th November - 18th November, 2023
Next Peak Range: 6th December - 14th December, 2023
Sigma-L Recommendation: Sell
Time Target: ~ 14th November, 2023
Current Signal Phase
This is ‘how far along’ the cycle is in it’s period at now time and is related to the predicted price action direction.
Current Signal Frequency Modulation (FM)
This is how much, on average, the signal detected varies in frequency (or wavelength) over the whole sample. A lower variance is better and implies better profitability for the component. Frequency usually modulates relatively slowly and over several iterations.
Current Signal Amplitude Modulation (AM)
This is how much the component gains or loses power (price influence) across the sample, on average. Amplitude modulation can happen quite quickly and certainly is more evident than frequency modulation in financial markets. The more stable the modulation the better.