vixandmore.blogspot.com - 7/7/2009
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I was not at all surprised that when the VIX spiked over 80 last October, this blog was the beneficiary of a similar spike in readership. In fact, spikes in visitors to the blog have been highly correlated with the VIX and with various volatility events since the blog was launched in January ...
sentimentrader.blogspot.com - 7/7/2009
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sentimentrader.blogspot.com —
A couple of months ago, Credit Suisse rolled
out a new indicator that was supposed to be...
a new and improved "fear index". The de facto standard for such indicators is the VIX, with which nearly everyone is familiar. The higher it goes, the ...
(more)
Battle Of The Fear Indexes
sentimentrader.blogspot.com - 7/14/2009
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sentimentrader.blogspot.com —
Options expert, and unofficial (though enthusiastic) Vix bikini
spokesman Adam Warner noted today on Twitter that we...
may be in for an uptick in volatility based on where the VIX index is relative to historical volatility and also to VIX futures. ...
(more)
VIX Predicting The Future...And It's Cloudy
online.barrons.com - 7/2/2009
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online.barrons.com —
WITH ALL THE TURMOIL IN the markets over
the course of the past year or so, the...
CBOE Volatility Index, commonly known as the VIX, has received a great deal of media attention as a gauge of investor fear and anxiety. As a result of its elevated ...
(more)
Take a Longer View on Volatility
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Vix vs Vix Challenger
FT Alphaville —
... like this, when the VIX is at a multi-month low, but the CSFB Fear Index is at a multi-month high. Over the next three months following those four instances, the S&P averaged -9.2%, and with a risk that averaged more than 6 times greater than the average reward. We’re still a bit dubious, but the good news is we will have the result of the battle of the fear barometers in three months’ time. Related links: Biggest Vix drop hides options bets S&P 500 will fall - Bloomberg Interest in Vix spikes as volatility declines - Vix and More Vix challenger - FT ...
Wednesday links: simple signals
Abnormal Returns —
... signals for market-timing purposes.” (Kirk Report)
Were Goldman Sachs’ (GS) proprietary methods for high frequency trading ever at-risk? (The New Wall St. also Breakingviews)
Speed (and code) matters when it comes to high frequency trading. (FT Alphaville)
Why the persistent interest in the VIX? (VIX and More)
“Bill Miller is not unique. ...
Related Content
The VIX is Up! The VIX is Up!
adamsoptions.blogspot.com 7/16/2009 — You know what they say. When Bloomberg tries to analyze volatility, run the other way. Or something like that. This from yesterday. The VIX rose with the Standard & Poor’s 500 Index, a sign from the options market that the steepest three-day ...
How to Trade the VIX
vixandmore.blogspot.com 8/17/2009 — Based upon the search terms that are landing visitors on the blog this morning, it seems as if many readers are interested in how to trade the VIX. This question really boils down to two separate issues: strategies and trading vehicles. Since I have talked about strategies repeatedly in this ...
Calculating the Implied Volatility of the VIX
vixandmore.blogspot.com 4/7/2009 — Earlier today, a reader had an excellent observation and question regarding the implied volatility of the VIX: “I noticed that the IV for ATM July options is 50 while the VIX itself is 42 right now. That seems crazy to me since the IV for the VIX ...
Today’s Jump in the VIX
vixandmore.blogspot.com 4/8/2009 — Lately it seems like I am the only one who is not talking about the VIX. I find it particularly ironic that many of the same people who were pounding the table saying that the market could not bottom unless there was another dramatic VIX spike and ...
Volatility Analysis for July 15, 2009
vixandmore.blogspot.com 7/16/2009 — One what was one of the more interesting days in volatility in a long time, I thought I should pass along a few random comments. The intraday tick for tick positive correlation between the VIX and the SPX was as strong as I have ever seen. Most of the time the VIX and the SPX move in opposite ...
The VIX Spike Conundrum
vixandmore.blogspot.com 11/3/2009 — I have been absolutely astonished by the number of comments I have seen in the past few days to the effect that right now is an excellent time to make initiate new long positions on VIX options. I am still not sure what is behind most of this thinking, but it seems as if quite a few investors ...
VIX Spikes Above Bollinger Bands
vixandmore.blogspot.com 9/2/2009 — Yesterday’s 12% jump in the VIX lifted the volatility index to 13.8% above its 10 day simple moving average . As noted on a number of occasions here, when the VIX is at least 10% above its 10 day SMA, this is usually a good time to initiate a short-term mean reversion play and go long the SPX ...
Excellent New VIX Video at masteroptions.com
vixandmore.blogspot.com 7/24/2009 — As a discretionary trader, I sometimes like to act on my gut before I get the proper confirmation signal to enter or exit a position. The bottom line is that I don’t mind being early and I don’t mind being wrong, as long as the economics of my gut is positive on balance. Two weeks ago, I took ...
The VIX Can Play Tricks
tbm.thebigmoney.com 3/13/2009 — While the precipitous drop of the Dow this year has garnered much financial media hand-wringing recently, another index has also attracted attention , especially in the blogosphere: the Chicago Board Options Exchange Volatility Index, aka the ...
Stress Test for the VIx
adamsoptions.blogspot.com 5/5/2009 — Lot's of commentary regarding the oddly "not weak" VIX in the face of a very strong tape. And indeed, I show that as signficant going forward. For my book, one stat I looked at was how the market does when the VIX does something odd. That is, ...
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