A Challenge to Two Things You Think You Know About the VIX
From Jason Goepfert via the virtual pen of Steve Sjuggerud and archives of Investment U and comes several VIX-related ideas that are worth mulling over 1 ½ years after they were published.
Goepfert, who heads up Sundial Capital Research and sentimenTrader.com, attempted to reconstruct what historical VIX data might have looked like if it were possible to simulate VIX readings all the way back to 1900. In this manner he developed what he calls a Faux-VIX that looks back over a century. As described by Sjuggerud, Goepfert determined that while current VIX readings look quite low by the historical standards that cover two decades of official CBOE VIX/VXO data, looking back to 1900 with the Faux-VIX, it appears that volatility readings below the current 11 level happen approximately one third of the time.
3 comments:
Hi ,
I do agree with you that the vix is excellent as a mean reverting tool. Pin pointing short term extremes is very effective when applying moving averages and rsi and other oscillators to the vix. But I think it is most useful in the short term alone. Long term it is much more difficult to game.
Hi , I do agree with you that the vix is excellent as a mean reverting tool. Pin pointing short term extremes is very effective when applying moving averages and rsi and other oscillators to the vix. But I think it is most useful in the short term alone. Long term it is much more difficult to game.
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