All Entries Tagged With: "VIX"
VIX to VXV Ratio Nears All-Time Lows
A few days ago I pointed out that while the VIX has fallen since late November, it’s certainly not nearing all-time lows (yet). And I agree with some who suggest that may not mean much. After all, those all-time VIX lows were set years ago before the financial crisis. But the ratio of the VIX [...]
VIX Near All Time Lows? Not Even Close
Business Insider reported that the VIX is near all-time lows. Although it may be a simple error, that’s not the case at all. Although a VIX close to 17.61 on December 14 does seem to represent complacency given the volatility we saw earlier in the year, but that level would have been considered relatively high [...]
Implied Correlation Drops From September Highs
Back in September, I wrote that implied correlation was at record highs for the year. Now it’s seems to have backed off from those highs. First, a brief explanation: The CBOE publishes two implied correlation indices. These compare the implied volatility of S&P 500 index options to the implied volatilities of individual stocks in that [...]
Why Is The VIX/VXV Ratio Setting Record Lows?
As Bill Luby pointed out in his Seeking Alpha post, the VIX/VXV ratio hit an all-time record low on October 11 – sinking below 0.80 for the first time since VXV data has been available. The VIX measures implied volatility for S&P 500 options on a one-month basis. The VXV, on the other hand, measures [...]
Implied Correlation At Record Highs
I don’t think many traders follow the CBOE’s implied correlation index, but lately it’s been on the rise. The implied correlation index (actually a set of two indices) compares the implied volatility of S&P 500 options (the VIX) to the implied volatilities of options for individual stocks within the S&P 500 index. For example, on [...]
Hypertensive Markets: Do ETFs Cause More Pressure?
Morningstar’s Scott Burns asks what impact ETFs will have on future market activity. In discussing “today’s hyperintensive securities markets,” he makes some good points on how greater access to ETFs may have “unintended consequences.” I’d actually describe the market as “hypertensive” – and ETFs may indeed add pressure to market action. Here are few points [...]
Did the VIX Know Something About the Flash Crash in May?
A few weeks ago I posted an article asking, “Does the VIX Get it Right?” I compared using actual historical volatility and the VIX as indicators of future market volatility. Over long periods of time they seem to perform almost equally well. Here’s an interesting chart showing that back in March and April, the VIX [...]
When VIX and VXV Get Out of Whack
Everyone seems to be watching the VIX these days, but there’s another market indicator I like to watch: the VIX/VXV ratio. The VIX, is of course, the CBOE Volatility Index. This measures the implied volatility of S&P 500 options expiring in about one month. For more on this, see my previous post: “Does the VIX [...]
Does the VIX Get it Right?
The VIX (CBOE Volatility Index), often called the “fear index,” measures the implied volatility of S&P500 index options that expire in 30 days. There’s an active ZeccoShare Discussion thread on this index, “Our Friend VIX,” so I thought I’d do a little statistical work to see if the VIX helps predict future price action. In [...]
Too Much Fear, Too Much Optimism
Forbes published an interesting piece, “Who’s Right, Traders or Analysts?” on where the stock market stands as the first half of 2010 draws to a close. Charles Rotblut, editor of the AAII Journal (published by the American Association of Individual Investors) notes: “The downward momentum in stock prices that has occurred over the past several [...]
