vixandmore.blogspot.com - 6/26/2009
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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 ...
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
adamsoptions.blogspot.com - 6/30/2009
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adamsoptions.blogspot.com —
Apologies in advance for thinking of this show
every time I hear the name McMillan. As we've...
pointed out many many times lately, options volatility remains wildly overpriced compared to realized volatility whether you look at individual stocks or ...
(more)
McMillan and VIX Premiums
vixandmore.blogspot.com - 6/25/2009
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vixandmore.blogspot.com —
The VIX closed at 26.36 today, down 15.4%
from Monday’s close of 31.17 to the lowest closing...
level since the 25.66 close on September 12, 2008 – the last trading day before the Lehman Brothers bankruptcy was announced. According to the classic 10 day simple moving average measure, which has ...
(more)
VIX:VXV Ratio Sell/Short Signal
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NIGHT MOVES
THE SHARK REPORT —
... A QOTD from Kedrosky; VIX+MORE looking at VIX mid 20's; The Quant seeing ...
Sunday links: savings surge
Abnormal Returns —
... asset classes now that they are facing illiquidity woes? (Barron’s)
How the rising number of dark pools of liquidity affects individual investors. (Barron’s also MarketBeat)
A sentiment overview for the week. (Trader’s Narrative, Technical Take)
VIX in the mid-20’s here we come. (VIX and More)
Why do investors continue to bet on the stocks of ...
Half Year In Review: Six ETF Stories From The First Six Months of ‘09
ETF Database —
... At the end of 2008, it seemed as if the triple digit swings in the Dow were an everyday occurance, with investors hardly blinking an eye if the major indexes moved 2% or 3% in a single session. It seems, however, that 2009 has ushered in some degree of stability. After reaching record levels, most indicators of market volatility have reutned to a normal historical range. iPath’s S&P 500 VIX Short Term Futures ETN ( ...
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Where Will the VIX Bottom?
vixandmore.blogspot.com 5/19/2009 — As I write this, the VIX is at 28.80, after making an intraday low of 28.51 earlier in the session. Since this is the first time the VIX has traded below 30.00 since the middle of September, I am finding there is a great deal of interest in and ...
How Low Can the VIX Go?
vixandmore.blogspot.com 5/8/2009 — With the bank stress tests results and the April employment report out of the way, volatility is cratering and the VIX is down to 31.45 as I type this. So how low will the VIX go? A little more than two weeks ago, in The New VIX Macro Cycle Picture ...
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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 ...
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 ...
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 ...
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, ...
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 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 ...
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