bloomberg.com - 11/3/2008
—
'Old VIX' Shows More Sustained Fear Than in 1987
ritholtz.com - 11/5/2008
—
ritholtz.com —
> Who could have predicted that traders would
be celebrating the decline of the Chicago Board Options...
Exchange’s volatility index below the 50 mark? We saw the VIX peak late October, coincident with the worst of the credit freeze and market panic. ...
(more)
VIX Slips Below 50
vixandmore.blogspot.com - 10/27/2008
—
vixandmore.blogspot.com —
With the VIX currently at 77.13, it may
seem like a strange time to talk about fear...
starting to leave the markets. As I type this the VIX is down 2.00 and the SPX is down about 15. The fact that the VIX and SPX are both moving down this morning is ...
(more)
Fear Is on the Decline
vixandmore.blogspot.com - 11/5/2008
—
vixandmore.blogspot.com —
Rob Hanna at Quantifiable Edges has a study
up this morning with the title VXO Suggesting A...
Pullback Is Likely . In his previous Is A Low VIX A Short Trigger? Rob concluded, contrary to popular wisdom and quite correctly: “Owning the S&P 500 ...
(more)
VIX Way Below 10 Day SMA
Comments
Blog Reactions
Links: Surowiecki, China, Canada, Dollar, Bernanke, etc.
Paul Kedrosky's Infectious Greed —
Some quick links to items of interest: Bernanke’s push for lower rates is driving yields up (Bloomberg) The problem isn’t markets know too little, but that they know too much (Surowiecki/New Yorker) Behind AIG's Fall, Risk Models Failed to Pass Real-World Test (WSJ) News (Source) Canadian endowment losses causing cost cuts and freezes (Globe & Mail) Why we will see bigger dollar “smile” than most expect (Morgan Stanley) Greenspan slept as off-books debts escapted scrutiny (Bloomberg) Copper ...
Did October 2008 Panic Exceed the 1987 VIX Levels ?
The Big Picture —
>
In all of the end of month mayhem last week, you may have missed the
above Bloomberg chart-of-the-day on Friday. It showed something that
was rather fascinating: Option traders have been at a more elevated
level of fear for a longer period of time than during the 1987 crash.
The comparison is one between short and sharp (1987) versus high and
protracted (2008). Its between a brief peak and a prolonged elevation.
Here's the Ubiq-cerpt:™
"U.S. stock investors have been more fearful for longer
than they were in the weeks before the October 1987 market crash,
according to a gauge ...
Related Content
Chart of the Week: Volatility and Mean Reversion in 1987-88 and 2008-09
vixandmore.blogspot.com 7/27/2009 — In this week’s chart of the week , I have elected to compare the aftermath of volatility spikes in 1987 and 2008. For the 1987 series, which begins with Black Monday, I have chosen to use a reconstruction of the ‘original VIX’ which has been tracked under the VXO ticker since 2003 and peaked at ...
Volatility History Lesson: 1987
vixandmore.blogspot.com 5/19/2009 — To summarize some history I laid out in Meet the Spikers , the VIX was officially launched on 4/1/93. At that time the method used for calculating the VIX was based on 8 S&P 100 (OEX) calls and puts with an average time to expiration of 30 days. On ...
Fear vs Greed
quantifiableedges.blogspot.com 4/22/2009 — There was some discussion of fear vs. greed the other day in the comments section of the blog. The discussion revolved around whether they were mirror images of each other. My contention was that they aren’t and I pointed to the study regarding Worden Bros. overbought indicator from Monday as ...
More Volatility + Less Fear = Lower VIX?
vixandmore.blogspot.com 3/12/2009 — Yesterday’s rally resulted in a 6.4% jump in the SPX and pulled the 10 and 20 day historical volatility in the SPX up to levels not seen since December. While very few investors are convinced that last week’s bottom is now safe, there is a growing ...
Trading Strategy: the VIX Spread and the Stock Market
marketsci.wordpress.com 11/12/2008 — This post will be more complicated than most I write, but I think folks interested in the VIX and volatility and what they tell us about the markets will find this to be a new (and I hope useful) concept. Unfamiliar with the VIX? Read VIX & ...
VIX: Still the Fear Index?
minyanville.com 4/7/2009 — The CBOE Volatility Index, VIX , was created and began tracking market data in June, 1988. For most of its 20-year history, VIX was considered by many traders and investors to be a measure of the current fear or complacency of market participants. ...
VIX: Still the Fear Index?
minyanville.com 3/31/2009 — The CBOE Volatility Index VIX was created and began tracking market data in June 1988. For most of its 20-year history VIX was considered by many traders and investors to be a measure of the current fear or complacency of market participants. VIX is ...
Three Fear Indicators (or…The Three Baritones)
vixandmore.blogspot.com 3/2/2009 — While the VIX gets most of the media attention as a fear indicator, its usefulness is clearly much better for volatility related to U.S. equities than it is for other asset classes and economic threats. The TED spread received considerable acclaim ...
Double Tops in the VIX
vixandmore.blogspot.com 12/8/2008 — The following is adapted from a subscriber newsletter segment that appeared in the November 26 th newsletter. I have never seen any research on the subject of VIX double tops, but given the recent double top formation in the VIX, I thought this ...
Extendo VIX
adamsoptions.blogspot.com 11/19/2008 — 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 ...
Follow WallStreetBlips on Twitter
