tag:blogger.com,1999:blog-897456774486153841.post8516589220595908477..comments2024-03-28T06:07:36.391-07:00Comments on VIX and More: The Importance of Time HorizonsBill Lubyhttp://www.blogger.com/profile/01241003017364820134noreply@blogger.comBlogger3125tag:blogger.com,1999:blog-897456774486153841.post-31827021172829580102007-04-19T21:36:00.000-07:002007-04-19T21:36:00.000-07:00Great questions, guys.I keep coming back to the di...Great questions, guys.<BR/><BR/>I keep coming back to the difficulty in comparing an oscillating index like the VIX, with a trending one like the SPX.<BR/><BR/>I'll put up a post on this subject tomorrow, but right now I'm looking at a monthly chart (weekly would probably work a little better) of the VIX and SPX going back to 1990. The most interesting part of the chart is from about October 1994 through March 2000, which, of course, was a raging bull market in which the SPX increased by a multiple of about 4.5x. What many may not realize is that the VIX was moving up steadily during this period as well, going from the 12-14 range to the mid-20s.<BR/><BR/>The bottom line is that over time the SPX goes up about 10% a year and the VIX goes sideways, so there will be many bullish periods where the VIX actually goes sideways or rises. Only during extreme bullish complacency should we expect to see VIX readings in the 11-12 range and sub-10 may turn out to be a once a decade phenomenon.<BR/><BR/>In the current phase, I think echo volatility plays a strong part as well.<BR/><BR/>This is a subject I should be talking about a lot more; thanks for the nudge.<BR/><BR/>Cheers,<BR/><BR/>-BillBill Lubyhttps://www.blogger.com/profile/01241003017364820134noreply@blogger.comtag:blogger.com,1999:blog-897456774486153841.post-64824992003236215712007-04-19T19:27:00.000-07:002007-04-19T19:27:00.000-07:00I found this interesting as well.Looking at the 5 ...I found this interesting as well.<BR/><BR/>Looking at the 5 day VIX charts would lead one to believe that increased short term VIX readings are possible if we have another record setting day in the market with a higher corresponding reading on the VIX. IMHO. Indicative of traders wanting to take greater risk for gain while simultaneously recognizing that risk is back and planning accordingly.<BR/><BR/>Bill, your take?Robert L.https://www.blogger.com/profile/09217639321822738113noreply@blogger.comtag:blogger.com,1999:blog-897456774486153841.post-60413009947499066252007-04-19T18:56:00.000-07:002007-04-19T18:56:00.000-07:00Hi, The market is hitting new highs while the VIX ...Hi, The market is hitting new highs while the VIX is still above the Feb lows. What do you make of this?Anonymousnoreply@blogger.com