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It’s no secret volatility has sat at extraordinary levels for quite some time now. But is this unique? Not quite yet, according a recent presentation from the man that invented the VIX, Robert Whaley, now a professor at Vanderbilt.
An important way of judging market anxiety is to examine the persistence with which VIX remains above [...]
Hey, if you like your volatility for the longer term, and you think it’s about 1930 right now on the Crash Clock, you may be in luck. MarketSci Blog looks at some charts, and sees this (hat tip Abnormal).
A few non-surprises here. (1) Volatility from 2004 through most of 2007 was close to historical lows. (2) [...]
So, remember that urban legend that states As Goes the Market The Thursday Before Expiration, so it goes in reverse into the actual Expiration?
Well, we had a big up day yesterday, which surely means we will get plowed from here on in. At least that’s what our forefathers told us.
But also, Rob Hanna and has [...]
CXO Advisory studies the relationship between the VIX and future stock market returns.
Experts and pundits often cite a very high (low) Chicago Board Options Exchange (CBOE) Volatility Index (VIX) as an indication of investor panic (complacency), and therefore of a pending U.S. stock market advance (decline). Is this conventional wisdom regarding VIX as a market [...]
So it seems like only yesterday they were manipulating the SPX options to gin up the VIX settlement price for October.
Well guess what, we’re only a week until November expiration. As I discovered recently, there’s reason behind the seeming randomness of the VIX options expiration; it’s 30 days ahead of the next SPX expiration.
So what’s [...]
