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

Posted by Bill Luby at 9:41 AM

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3 comments:

Anonymous said...

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

Cheers,
OptionPundit

January 31, 2007 at 11:13 AM
Anonymous 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

January 5, 2008 at 9:02 AM
Bill Luby said...

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

Cheers,

-Bill

January 6, 2008 at 11:48 AM

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