tag:blogger.com,1999:blog-897456774486153841.post7970762544653461551..comments2024-03-18T03:31:52.739-07:00Comments on VIX and More: VIX Overreaction?Bill Lubyhttp://www.blogger.com/profile/01241003017364820134noreply@blogger.comBlogger3125tag:blogger.com,1999:blog-897456774486153841.post-28394374016307635362007-03-01T07:48:00.000-08:002007-03-01T07:48:00.000-08:00Thanks, Bill. Many thanks. I have a lot more to ...Thanks, Bill. Many thanks. I have a lot more to do at my blog. I am maybe 5% of the way there, so stay tuned.David Merkelhttps://www.blogger.com/profile/05073877918072914309noreply@blogger.comtag:blogger.com,1999:blog-897456774486153841.post-22591068872958819262007-02-28T22:10:00.000-08:002007-02-28T22:10:00.000-08:00Thank you, David, for weighing in here and comment...Thank you, David, for weighing in here and commenting on your experience in using the VIX for some setups. <BR/><BR/>I would be remiss if I didn't mention that your blog is off to a flying start in terms of content and style; I particularly like the breadth of investment-related topics. Even though you are still unpacking, I am already a regular reader.Bill Lubyhttps://www.blogger.com/profile/01241003017364820134noreply@blogger.comtag:blogger.com,1999:blog-897456774486153841.post-22058702255347047582007-02-28T19:45:00.000-08:002007-02-28T19:45:00.000-08:00Hey, thanks for picking me up. My blog is new, bu...Hey, thanks for picking me up. My blog is new, but I've been a commentator at RealMoney.com for 3.5 years.<BR/><BR/>Here's a use of the VIX you probably haven't run into. I used to be a corporate bond manager, running insurance money for a top 50 company. During 2001-2003, I would use the VIX to help me time trades. I would keep a screen with four graphs -- the S&P 500, the 30-year Treasury, the 10-year swap rate, and the VIX. On volatile days, the VIX would rise, and I'd sit on my hands until the VIX crested and typically, the market bottomed. I would then place my trades in the midst of the panic, and then lighten up on other days when the VIX would be in its usual mean-reversion process, decaying at a rate of 20%/month back to my hypothetical mean-reversion level of 16.<BR/><BR/>Also, since I'm also a life actuary, my VIX model was used to develop investment strategies for Equity Indexed Annuities. Worked really well, and gave me confidence as a bond manager in the high correlation between average credit spreads and the VIX.<BR/><BR/>Again, thanks.David Merkelhttps://www.blogger.com/profile/05073877918072914309noreply@blogger.com