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vixandmore.blogspot.com - 10/30/2009
The Calendar Effect and Time Decay
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Since the beginning of last year, I have periodically discussed what I call “ calendar reversion ,” which is essentially a phenomenon caused by the fact that the VIX is priced according to the calendar, but only calculated during trading days. The long and the short of this chronological ...
VIX Spike of 35% in Four Days Is Short-Term Buy Signal
vixandmore.blogspot.com - 10/29/2009
VIX Spike of 35% in Four Days Is Short-Term Buy Signal
— vixandmore.blogspot.com — It has been awhile since I posted one of my VIX studies and given the recent spike... in the VIX, today’s action seemed like a good excuse to revisit the idea of VIX spikes as contrarian bullish mean reversion buying opportunities. Today the VIX closed at 27.91, which is up 34.9% in the four ... (more) VIX Spike of 35% in Four Days Is Short-Term Buy Signal

Comments vote down VIXandMore VIXandMore posted 10/29/2009posted this
Pullback Surpasses 2009 Mean
vixandmore.blogspot.com - 10/30/2009
Pullback Surpasses 2009 Mean
— vixandmore.blogspot.com — While this might not provide a great deal of comfort to longs, I have updated the VIX... and More Pullback Table to reflect today’s selloff. The table shows that the peak to trough drop of 66.73 points (6.1%) in the SPX has exceeded the 2009 average of 5.8%. As noted previously, a 5.8% pullback ... (more) Pullback Surpasses 2009 Mean

Comments vote down VIXandMore VIXandMore posted 10/30/2009posted this
The VIX:VXV Ratio, Availability Bias and Disaster Imprinting
vixandmore.blogspot.com - 30 days ago
The VIX:VXV Ratio, Availability Bias and Disaster Imprinting
— vixandmore.blogspot.com — Once a popular subject in this space, the VIX:VXV ratio appeared to be a casualty of the... financial turmoil and record volatility spikes in October 2008, when the ratio spiked to record levels an generated a buy signal that turned out to be nothing short of a disaster. I was not yet ready to ... (more) The VIX:VXV Ratio, Availability Bias and Disaster Imprinting

Comments vote down VIXandMore VIXandMore posted 30 days agoposted this

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Daily Options Report:  The Favre Show

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The Favre Show
Daily Options Report — ... has a nice explanation of this concept (hat tip VIX and More). I've tackled this topic from a different angle, namely how it throws off volatility stats, but as a trader it's more important to understand how decay works than how the VIX reflects it. ...

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