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The VIX:VXV Ratio, Availability Bias and Disaster Imprinting
vixandmore.blogspot.com - 19 days ago
The VIX:VXV Ratio, Availability Bias and Disaster Imprinting
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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 ...
VIX Goes From Overbought To Oversold In 5 Days
quantifiableedges.blogspot.com - 15 days ago
VIX Goes From Overbought To Oversold In 5 Days
— quantifiableedges.blogspot.com — The VIX has moved from overbought to oversold quite quickly this past week (based on its stretch above and below the 10-day average). This brings up the question of whether the now “oversold” VIX is suggesting a selloff for the S&P. I took a look at similar past situations. Results have ... (more) VIX Goes From Overbought To Oversold In 5 Days

Comments vote down quantifiableedges quantifiableedges posted 15 days agoposted this
Pullback Surpasses 2009 Mean
vixandmore.blogspot.com - 25 days ago
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 25 days agoposted this
vixandmore.blogspot.com - 25 days ago
The Calendar Effect and Time Decay
— vixandmore.blogspot.com — 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 ... (more) The Calendar Effect and Time Decay

Comments vote down VIXandMore VIXandMore posted 25 days agoposted this

Blog Reactions

Abnormal Returns:  Thursday links: the carry trade

A Dash of Insight:  ETF Update: Recognizing and Reacting to Risk

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Blog Reactions

Thursday links: the carry trade
Abnormal Returns — ... Data) Mohamed El-Erian, “It is totally rational for risk markets to rally in the very short term when the FOMC flashes a green light for the dollar-funded carry trade. The challenge is that, in the process, they accentuate what is already a wide gap between valuations and the outlook for economic fundamentals in 2010.”  (FT Alphaville) Checking back in on the VIX:VXX ratio.  (VIX and More) The line to short JGBs is getting ...

ETF Update: Recognizing and Reacting to Risk
A Dash of Insight — ... Bill Luby at VIX and More has an excellent recent series on using VIX, the most popular volatility measure, as an investment indicator.  Start here, but read the linked articles for a more complete understanding of the issues. ...

Related: vix ratio
The Volatility Indexes VIX:VXV Ratio, Availability Bias And Disaster Imprinting — Daily Markets
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 ...