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?
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.
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.
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.
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The intent of this blog is to educate, inform and entertain readers, while also serving as an archived learning laboratory of sorts as I try to sharpen my thinking in areas such as volatility, market sentiment, and technical analysis. I also enjoy charging off on tangents and hope that readers may find some illumination or at least amusement in these forays.
Chief Investment Officer at Luby Asset Management LLC in Tiburon, California. Previously worked as a full-time trader/investor and also a business strategy consultant. Education includes a BA from Stanford and an MBA from Carnegie Mellon.
Useless trivia: I once broke the world pogo stick jumping record without knowing it.
10 comments:
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?
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
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.
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
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
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
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