Friday, October 24, 2008

First VIX Print Is 89.00

Markets rallying in first three minutes

3 comments:

Bill Luby said...

The official VIX high for the day is 89.53, which was posted right after the open.

With the markets rallying, the VIX quickly fell through the 80s and has not traded above 80 since 10:28 a.m. ET.

trade said...

What is your take on this? My take is that in time of less credit and leverage, the investment banks and hedge funds drive up the 'fear index' or volatility to make up for the lack of leverage. The result is similar income at less leverage.

Bill Luby said...

Hi trade,

The last data I saw showed a relatively low percentage of hedge funds involved in volatility strategies. I'm guessing that I-banks (what's left of them) are more active in volatility strategies, but I'm not sure how much money they have committed in this direction relative to other strategies.

That being said, I am certainly not going to discount your hypothesis. The question I wonder about is how difficult it is to manipulate the fear and volatility component of the markets. Certainly not as hard as it would have been a year or two ago.

Interesting take; thanks for sharing.

-Bill

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