Recently a reader asked me this question about the VIX trading beneath 15. I was actually preparing to study the issue for tonight’s blog post when I happened upon today’s Trading Markets post by Larry Connors.
I’ll let Connors’s post serve as a jumping off point. You can read it here: Is the VIX Too Low?
Over the next few days I’ll dig a little deeper than Connors has so that we can see what happens in the short and intermediate terms when VIX trades beneath a certain level.
In the meantime, if you are interested in reading more VIX related posts, I have housed all of them in the Volatility archive. There is some good stuff there, so give it a look.
One of the things you might want to look at is realized volatility v. implied volatility and the spread between them. My quick findings are that the larger the spread (IV – RV), the more positive it is for equities, and vice versa.
I posted briefly in the blogger network regarding volatility.
I think the take away, Mr. WS, is that $SPY and $VIX aren’t (necessarily) both significantly and inversely correlated?
Is this correct?
I always welcome Gear-Cruncher, expert opinions.
Thanks for data.
I can only crunch so many tables and cross reference so many tabulations before being to drool, go eye-dazed and slump over.
It DOES happen, and then I have a terrible, but mild, spinal sprain.
Is my interpretation correct, partially accurate or total fail-repeat course?
No, your interpretation is absolutely correct BRA.
Thanks Prof (W$).!. .
Back into sparks lab. .. .
Yes
wood, ever run a study about stcks, not index, hitting 52 W H, and then performance thereafter? not sure how robust your software is, but you’d want to make it statistically significant.
I could do that. There is already a good amount of research out there on that topic. Use google scholar and search for it.
Amazing returns for trading voltility/
http://seekingalpha.com/instablog/709762-varan/975711-x01-x01a-strategy-for-qld-ultra-qqq-and-volatility-etfs-vxx-and-xiv?source=kizur
Yeah, sure, but the test only ran for 1 year???