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online.barrons.com - 7/2/2009

Take a Longer View on Volatility

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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 profile, the VIX is now followed by a wider variety ...

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sentimentrader.blogspot.com - 7/7/2009

Battle Of The Fear Indexes

— 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

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VIX

Credit Suisse

S&P 500

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vixandmore.blogspot.com - 6/26/2009

VIX Convergence Zone in Mid-20s

— vixandmore.blogspot.com — Since Fridays are days in which recent VIX lows are often tested, I thought this might be... a good time to step back from the typical VIX daily chart and look at a weekly chart. In the chart below, I have elected to go back to the beginning of 2006 to capture the details of what was arguably the ... (more) VIX Convergence Zone in Mid-20s

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VIX

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vixandmore.blogspot.com - 7/7/2009

Interest in VIX Spikes as Volatility Declines

— vixandmore.blogspot.com — 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 ... (more) Interest in VIX Spikes as Volatility Declines

Stocks

VIX

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Guest Columnist for Steven Sears at Barron’s Today
VIX and More — Thanks to Steven Sears at Barron’s for giving me an opportunity to contribute to his excellent options column, The Striking Price Daily, while he is on vacation. It should surprise very few readers that I elected to write about a subject that has garnered a great deal of attention on this blog, the CBOE S&P 500 Three-Month Volatility Index. Of course we just call it VXV here. The Barron’s column, Take a Longer View on Volatility, is available to subscribers and non-subscribers alike. ...

Friday links: the factor of chance
Abnormal Returns — We want to wish all of our readers a happy and healthy Fourth of July. Don’t believe all the hype about record Wall Street bonuses.  (The Big Money) Taking a longer term look at implied volatility.  (Barron’s) Bond default rates continue to rise.  (DealBook) Mortgage REITs are the new vehicle of choice to invest in beaten down real estate.  (WSJ) Welcome back ...

Event Volatility vs. Structural Volatility
the alpha and omega — Bill Luby writes (Barron's): The 30-day VIX time horizon primarily captures what I call "event volatility" that is associated with scheduled events such as important economic data releases, earnings reports, as well as various scenarios associated with high-profile geopolitical and other events which are likely to cast a shadow over the next month. By comparison, the 93-day time horizon of VXV guarantees it will encompass an entire earnings cycle, a full quarter of the economic-data-release cycle and two FOMC meetings. The VXV is more focused ...