Thursday, October 16, 2008

Welcome to the 80s: VIX at 81.17

...and the Oct 100 calls now at 1.40 - 1.60

10 comments:

diegoengel said...

Bill, we were just sitting around and watching VIX bounce around. Seeing that you follow this reading pretty closely, could you tell us what the theoretical highest number VIX could hit?

Bill Luby said...

Hi Diego,

The VIX is theoretically unbounded to the upside. In 1987 its predecessor (VXO) hit 172. I haven't tried to apply a synthetic VIX to the Great Depression, but I can imagine a reading of 200+ without too much difficulty.

Cheers,

-Bill

Anonymous said...

I'm starting to believe we will need to see a 1987 style spike in the 150-200 range before we will see true capitulation/market bottom.

Anonymous said...

Bill, I remember a good past piece you did on defining VIX with a good comment from someone. The comment gave some illustrations of what actual market moves were consistent with that level of VIX over a given time frame.

That would be a useful example right now for the 70 - 80 level. If you have something like this already and I missed it, maybe you can provide a new pointer.

Thanks,

Jeff

Bill Luby said...

Hi Jeff,

I'm drawing a blank on your reference right now, but if I can some up with something that fits the bill, I will post it.

Are you thinking about something like a Beaufort Scale for market volatility? That could be fun...

Cheers,

-Bill

P.S. Thanks for giving me a nudge in your post earlier

Anonymous said...

Bill, I found the item I remembered from your site. It was from March 17, 2008. A comment from "Frank" showed some good examples of what trading is required to reach certain volatility levels.

We do volatility forecasts, so I could do some simulations, but you are in the spotlight right now :)

I want to write something that provides more analysis, so I am looking for some of your best explanations, etc.

Thanks,
Jeff

yanmaneee said...

giannis shoes
off white nike
jordan shoes
kevin durant shoes
kyrie 5
yeezy supply
air jordan
lebron shoes
yeezy boost 350 v2
lebron shoes

tysoo said...

high quality replica handbags luxury replica bags high quality replica handbags

shysme said...

replica bags uk fake gucci u2r37k3m09 replica bags in uk replica bags on amazon you can try this out j3t95b9z67 replica bags lv click here for info r0u39y9t79 buy replica bags replica prada nylon bags

Unknown said...

replica bags review learn the facts here now m8u87p2t93 replica bags delhi replica bags for sale gucci replica s7a46h3l18 replica bags in delhi replica bags by joy click to investigate p1b80q0s50 9a replica bags

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 © 2007-2023 Bill Luby. All rights reserved.
 
Web Analytics