Wednesday, January 31, 2007

A Month By Month Look at the VIX

I’ll cut to the chase and put the graph of the monthly closes (with all values normalized to a monthly mean of 100) in the VIX first:

Since the picture tells almost the whole story, I’ll add only a few supplemental comments:

  • We are currently in the middle of the November-March doldrums
  • March-June and June-September are the two monthly volatility trends to keep an eye on
  • From a “sell in May and go away” perspective, the May-August period has included the VIX high month only twice, but the low VIX month ten out of seventeen years

3 comments:

OptionPundit said...

Bill , quite an interesting data. I shall now see how to cash this in the options market :)

Cheers,
OptionPundit

thedealsleuth said...

Bill, Thanks for the analysis. I took the liberty to quote in my blog posting about hedge fund December performance spikes.
http://thedealsleuth.wordpress.com/2008/01/05/hedge-fund-december-performance-spike-can-be-explained/
Regards, Thomas

Bill Luby said...

Thanks for working some of my research into a particularly thought provoking post, Thomas.

Cheers,

-Bill

DISCLAIMER: "VIX®" is a trademark of Chicago Board Options Exchange, Incorporated. Chicago Board Options Exchange, Incorporated is not affiliated with this website or this website's owner's or operators. CBOE assumes no responsibility for the accuracy or completeness or any other aspect of any content posted on this website by its operator or any third party. All content on this site is provided for informational and entertainment purposes only and is not intended as advice to buy or sell any securities. Stocks are difficult to trade; options are even harder. When it comes to VIX derivatives, don't fall into the trap of thinking that just because you can ride a horse, you can ride an alligator. Please do your own homework and accept full responsibility for any investment decisions you make. No content on this site can be used for commercial purposes without the prior written permission of the author. Copyright © 2007-2013 Bill Luby. All rights reserved.
 
Web Analytics