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2013issue C1338-41

Lunar phase as a seasonal overlay on implied volatility

A case study placed a continuous lunation-cycle, built from lunar-azimuth readings, on a listed implied-volatility-index and inspected several multi-month regime-windows. The seasonal-overlay was kept as a pre-trade-attention-check, not as a standalone seasonal entry rule.

  • After price-only checks on equities, currencies, and commodities had looked inconsistent, the case study compared a listed implied-volatility-index, using history from 1990, with new-moon and full-moon dates.
  • The lunation-cycle was built from lunar-azimuth readings converted with a sine function, and weekend calendar days were kept so the phase path stayed continuous across non-trading days.
  • In three regime-windows, implied-volatility highs clustered near full-moon dates and lows clustered near new-moon dates, sometimes with a short lead-lag.
  • The write-up did not establish a causal link. The overlay was framed as a pre-trade-attention-check and not as a complete seasonal trading procedure.
Entries in this reading3 entries
Current trackSeasonality analysis65 readingsImplied volatility analysis82 readingsSeasonal trading90 readings

A folkloric calendar on implied volatility

This case study used a lunation-cycle as a seasonal-overlay on a listed implied-volatility-index. That index is a listed estimate of expected market fluctuation, used here as the fear-and-greed series against which a lunar calendar is compared.

The comparison came after price-only checks on equities, currencies, and commodities had looked inconsistent. The implied-volatility-index, with history from 1990, was then lined up with new-moon and full-moon dates from the repeating new-moon to full-moon sequence.

Build a continuous phase series

The plotted lunar cycle was built from lunar-azimuth readings, which are horizon-angle readings, and converted with a sine function so the phase path could sit on the implied-volatility series.

Weekend calendar days were kept in the lunar series so the cycle would stay continuous across non-trading days.

Inspect several multi-month windows

A regime-window is a multi-month sample chosen so the same overlay can be viewed under more than one market backdrop.

In the 12 April 2004 to 30 July 2004 window, implied-volatility highs clustered near full-moon dates and lows clustered near new-moon dates, sometimes with a short lead-lag, meaning a short timing offset between a lunar date and an implied-volatility turning point.

The same full-moon high and new-moon low clustering was illustrated again for 13 April 2007 to 31 July 2007 and for 27 September 2012 to 14 January 2013.

VIX versus lunation cycle, April–August 2004

Daily VIX candles from mid-April through early August 2004 track a sine-wave lunation overlay: local VIX highs sit near the red full-moon crests and local lows near the green new-moon troughs, with the short leads and lags the article flags. Approximate levels were read off the plotted candles, not from a printed table.
Daily VIX candles from mid-April through early August 2004 track a sine-wave lunation overlay: local VIX highs sit near the red full-moon crests and local lows near the green new-moon troughs, with the short leads and lags the article flags. Approximate levels were read off the plotted candles, not from a printed table.CBOE Volatility Index (VIX) · daily · 2004-04-12T00:00:00.000Z to 2004-08-09T00:00:00.000Z

Y values are approximate readings from the candlestick raster; the source printed no numeric VIX series. Weekends were included in the author's lunation construction.

Keep the overlay as an attention check

The write-up did not establish a causal link between lunar phase and implied-volatility turns. Editorial note: coincidence inside chosen windows is not a demonstrated mechanism.

Lunar-declination was named as a substitute cycle input that could be used in a separate seasonality study.

The overlay was framed as a pre-trade-attention-check: a way to decide whether conditions deserve extra scrutiny before acting, rather than as an automatic signal.

Educational research material, not investment advice. Historical source context does not establish present-day performance.
29 of 41 in the Seasonality analysis track
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  11. 1997Lunar phase delay as a testable seasonal regime
  12. 1998Seasonal system construction without curve-fitting
  13. 1999Crowd life cycle as a market regime map
  14. 2001Regime-dependent cycle timing after four-year and seasonal lows
  15. 2002A 2002 case study in regime-first seasonal selection
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  18. 2004The championship conference rule as a yearly regime case study
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  21. 2006Midterm-to-presidential seasonal holding window
  22. 2008Two-layer equity regimes from seasonality and price history
  23. 2008Seasonal futures as a regime filter, not a calendar rule
  24. 2008Retesting seasonal rules when regimes change
  25. 2010Corn and wheat staggered calendars as dollar-neutral seasonal spreads
  26. 2011Name the S&P 500 trend regime before using weekly and monthly seasonality
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  29. 2013Lunar phase as a seasonal overlay on implied volatility
  30. 2013Soybean seasonal highs in a five-year carryover regime
  31. 2014Year-end tax-loss selling as a seasonal regime
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  33. 2017A four-year cycle and volume case study of a secular bear
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  35. 2019Seasonal depth versus tracking for futures position sizing
  36. 2019Stacking cycle forecasts with seasonal regimes
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  38. 2019July to October as a seasonal window, not a reason to own the name
  39. 2020A recession-regime checklist from valuation stretch and the yield curve
  40. 2020Treat a seasonal idea as a stay-or-sit holding procedure
  41. 2020A single position as a sleeve on a seasonal regime map
By fieldSeasonality and regimes131 readingsBy year2013106 readings
All 65 readings tagged Seasonality analysis
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