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Source:  J.P. Morgan



For all the complaining about Where the VIX is, this is not a terribly unusual level of volatility . . .

Category: Digital Media, Markets, Technical Analysis

Please use the comments to demonstrate your own ignorance, unfamiliarity with empirical data and lack of respect for scientific knowledge. Be sure to create straw men and argue against things I have neither said nor implied. If you could repeat previously discredited memes or steer the conversation into irrelevant, off topic discussions, it would be appreciated. Lastly, kindly forgo all civility in your discourse . . . you are, after all, anonymous.

10 Responses to “Volatility Relative to Large Cap Stocks”

  1. PeterR says:

    Excellent longer term charts.

    Fasten seat belts for Melt Up to SPX 1550 and beyond?

    Overbought SLOITC’s keep chuggin’ along. Reminds one of the mid to late 1990′s IMO.

  2. AHodge says:

    i have a chart from my friend on the Options Council
    where the S&P 500 went well over 100 on the 87 crash
    it was 186 if i remember, and was by far the record?
    but his may have shorter time periods than yurs?
    maybe daily or hourly?

  3. AHodge says:

    oops see the DJIA is there, actually over 200

  4. CharlesII says:

    The problem is with the phrase “terribly unusual.”

    As of August 7th of last year, it was statistically at an unusually low level of 15 (average 20.6, SD 8.2, so nearly a SD low). So, of course, 18 isn’t all that low, but it’s noticeably below average.

    So, ok, volatility is not at a very unusual level…if one considers this to be a normal time. What I would say is that VIX is at a ridiculously low level considering that Europe is in/near recession, China could undergo a serious correction, and the US is at negative levels of stimulus, with the possibility that the Congress will make serious cuts in spending. Countering that is unprecedented Fed action which, if they decide that the crisis is over, could reverse.

    But who wants to make a bet on VIX? When it goes low, it tends to stay low for long periods of time and vice-versa. Its values are not random, but clustered. So, just because it’s at a statistically low point doesn’t mean it’s likely to rise. In fact, it’s a better guess that it will stay down.

    Unless, of course, it doesn’t.


    BR: Note I called it “not a terribly unusual”

  5. PeterR says:

    Historical charts incl. DJIA and SPX are here:

  6. PeterR says:

    Spikes in volatility seem to be better predictors of market bottoms than are the so-called “bottoms” in volatility predictive of market tops IMO. Witness current VIX around 12.67 somewhat near previous lows, which at times lasted for years.

  7. blinblin says:

    This post cracks me up.

    So no one has noticed that the VIX is closer to 12.5, than 18 as mentioned, which is a 5+ year low ?

    Although Barry might think that its not terribly unusual for the VIX to be in this area for Big Cap stocks (via JPM reasearch), I just hope you have a better answer that the RVX or small caps are trading near all time lows for the last decade , not necessarily for me…but to the faithful who have placed their trust and pesos in you.

  8. PeterR says:

    Previous low VIX readings for 1993-1996 and 2005-2007 are shown in a new chart at the link above.

  9. CharlesII says:

    BR, I did register that you are saying that VIX is not out of line. The point is “unusual” doesn’t have much meaning unless it’s attached to a statistical measure.

    blinblin is right that $VIX is statistically very far from average… at 12.5, probably a full standard deviation.

  10. PeterR says:

    VIX’s moving averages (50/100/200) are between 16-17.5 +/-, and historically have stayed lower during the two periods referenced in the chart available in the link via my ID.