If the VIX closes below 30 today, it will be the first time since Sept
12th, the Friday before the Lehman bankruptcy announcement on the 15th.
The Sept 12th close was 25.66.
Please use the comments to demonstrate your own ignorance, unfamiliarity with empirical data, ability to repeat discredited memes, and lack of respect for scientific knowledge. Also, be sure to create straw men and argue against things I have neither said nor even implied. Any irrelevancies you can mention will also be appreciated. Lastly, kindly forgo all civility in your discourse . . . you are, after all, anonymous.
Faced with the choice between changing one's mind and proving that there is no need to do so, almost everyone gets busy on the proof. —John Kenneth Galbraith
Knowing that the vote over the weekend in Greece was really a referendum on Euro membership, a majority of the Greek Parliament said yes to staying. European Finance Ministers meet again on Wednesday to solidify the 2nd bailout package for Greece at the same time hopefully a deal is consummated between Greece and its creditors this week. The Greek 14.5b euro bond that matures on March 20th is up by 2 pts. The optimism that all will be completed and contained AGAIN to Greece has yields lower in Portugal, Spain and Italy. The iTraxx Financial Index is also narrower by...
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May 19th, 2009 at 4:50 pm
So, what are the implications of a low VIX historically. What security does it track? Calls vs. Puts?
May 19th, 2009 at 5:50 pm
It has a negative correlation to market movement, generally.
Also if you chart VIX and the S&P500, you will see that in nearly all crisis’ there are multiple VIX spikes with 30-40 wk spans between the spikes. We’ve had one. It was big. We are at week 37 from the peak of that spike. Perhaps because of the size of the spike, the time will expand…but I do not see how we escape another VIX spike. That will usually correspond to a move down in the market… I got nothing academic on this, just observation on a chart I did to 1990. Just something to think about.
May 19th, 2009 at 6:40 pm
Being a measure of volitility the vix references past movements. It is only a valuable indicator when it reaches a very high level as it indicates a potential turning point. Am I right?
May 20th, 2009 at 7:52 am
Umm, all measurements–ALL are of the past. We, as humans, are charged with making inferences to guide us in the future.
VIX= volatility= fear/complacency. Lower numbers can indicate complacency. High numbers can indicate fear. What I have been looking at is the TIME it takes to move from one to the other. I am finding that it has some predictability because regardless of the event, humans tend to REACT in the same, consistant manner–nearly every time. The Human quotient is the variable that is so often overlooked.