tag:blogger.com,1999:blog-897456774486153841.post8697584854449823638..comments2024-03-29T03:46:10.767-07:00Comments on VIX and More: Why is the VIX so Low?Bill Lubyhttp://www.blogger.com/profile/01241003017364820134noreply@blogger.comBlogger13125tag:blogger.com,1999:blog-897456774486153841.post-30916479311395311122013-06-17T22:02:59.050-07:002013-06-17T22:02:59.050-07:00I've been exploring for a little for any high ...I've been exploring for a little for any high quality articles or weblog posts on this sort of area . Exploring in Yahoo I finally stumbled upon this web site. Reading this information So i'm satisfied to exhibit <br />that I've a very good uncanny feeling I found out exactly what I needed. I most no doubt will make sure to do not forget this website and give it a look regularly.<br /><br />Also visit my web blog: <a href="http://Www.Hellodir.com/new/user_detail.php?u=theowoode" rel="nofollow">herbal party pills</a>Anonymousnoreply@blogger.comtag:blogger.com,1999:blog-897456774486153841.post-74875837944039706562013-06-17T00:24:24.908-07:002013-06-17T00:24:24.908-07:00how could i do this on a mac.
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In my opinion, if all website owners and bloggers made <br />just right content material as you probably did, the internet will likely be much more useful <br />than ever before.<br /><br />Here is my website <a href="http://www.pandgkills.com" rel="nofollow">trade rush avis</a>Anonymousnoreply@blogger.comtag:blogger.com,1999:blog-897456774486153841.post-30362044182527816802007-02-15T09:24:00.000-08:002007-02-15T09:24:00.000-08:00My point on divergences between actual and implied...My point on divergences between actual and implied volatility is that one could theoretically use them on options the way an investor might use a Price/Book or Price/Earnings ratio on stocks, i.e. sell high implied divergence and buy low implied divergence, all other things assumed equal. Say you had competing options strategies, one involving selling and one involving buying, that both captured gains from the market move you anticipate: then if implied is much higher than actual, chose the selling option, and vice versa. <BR/><BR/>I wasn't really thinking of using the divergence to predict VIX itself. In conversations with Adam, I don't think there really are suitable trading vehicles to profit directly and substantially from a predictive edge in "what will the VIX be?"<BR/><BR/>IV is the emotional component of VIX, and any recent divergence should probably be captured in terms of a longer-term relationship and not an absolute. Something like an MACD or PPO indicator with a very short (10-20 day) and very long (100-200 day) moving average to measure it. I imagine that IV could be very low or very high for extended periods, what would be useful in pricing options might be how mispriced the implied is today compared to this quarter or year, and not how mispriced today is compared to the entire history of VIX.nodoodahshttps://www.blogger.com/profile/05324705536306995431noreply@blogger.comtag:blogger.com,1999:blog-897456774486153841.post-13713046538742617382007-02-15T07:46:00.000-08:002007-02-15T07:46:00.000-08:00I'll buy most of what you're selling, Bill, and ap...I'll buy most of what you're selling, Bill, and appreciate your perspective. Where I get stuck is that looking at a graph of historic and implied volatility for VIX options does not yield the results you might expect: http://vixandmore.blogspot.com/2007/02/waiting-for-godot.html<BR/><BR/>What I think you are implying is that you would expect divergences between IV and historical volatility to point the way for way for subsequent VIX values. Instead, over the past 9 months or so I see almost the exact opposite happening: IV has been much higher than historical volatility while the VIX has been declining over the past 6-7 months; and when historical volatility jumped above the IV during last summer's sell-off, the VIX was mostly sideways during that period.Bill Lubyhttps://www.blogger.com/profile/01241003017364820134noreply@blogger.comtag:blogger.com,1999:blog-897456774486153841.post-84721119172515772762007-02-15T07:26:00.000-08:002007-02-15T07:26:00.000-08:00VIX seems to be mostly actual price volatility of ...VIX seems to be mostly actual price volatility of the index with a small portion contributed by sentiment of options traders ("implied" volatility). VIX is low because the actual volatility of price is low when measured as a proportion of average trading price. This low volatility is normal for where the index is today in terms of long-term momentum, as discussed on my blog and on others. <BR/><BR/>I think VIX is a trailing indicator, at best, and that one needs to pull out the information contributed by the actual volatility and look only at "implied" in relation to actual to get any information that would be useful. VIX in and of itself just doesn't have any meaning to me.<BR/><BR/>Even for an options trade, the meaningful information contributed by VIX is not its absolute level, but the mispricing exposed by comparing "implied" to historic volatility.nodoodahshttps://www.blogger.com/profile/05324705536306995431noreply@blogger.comtag:blogger.com,1999:blog-897456774486153841.post-30282658607788772502007-02-14T15:54:00.000-08:002007-02-14T15:54:00.000-08:00You're right. Somehow I misread Schaeffer's quote...You're right. Somehow I misread Schaeffer's quote because I was still thinking in terms of Lahart's "excess sellers" proposition that Schaeffer was looking to refute. <BR/><BR/>FWIW, I certainly agree with the conclusion that more buyers would raise prices, not lower them. It would be hard to argue the other side of that one. I guess I'll have to disagree with Schaeffer for now, but I'd love to see some hard data to support either his or Lahart's thinking.<BR/><BR/>FWIW, the WSJ has a follow-up of sorts in their MarketBeat blog today: http://blogs.wsj.com/marketbeat/2007/02/14/fear-does-not-exist-in-this-dojo/trackback/Bill Lubyhttps://www.blogger.com/profile/01241003017364820134noreply@blogger.comtag:blogger.com,1999:blog-897456774486153841.post-75800761187359908152007-02-14T15:37:00.000-08:002007-02-14T15:37:00.000-08:00bill lubyif Schaeffer is right and this was initia...bill luby<BR/><BR/>if Schaeffer is right and this was initiated by buyers, i think that is wrong because the price would rise. Every transaction initiated by buyers should lead to higher prices (increased demand), whereas seller initiated moves lead to lower prices (higher supply).Fontimamahttps://www.blogger.com/profile/10029029359716503903noreply@blogger.comtag:blogger.com,1999:blog-897456774486153841.post-6440059653308258362007-02-14T09:29:00.000-08:002007-02-14T09:29:00.000-08:00Thanks for weighing in, Lauriston.I had a similar ...Thanks for weighing in, Lauriston.<BR/><BR/>I had a similar thought to yours, but decided that the point was that more of the liquidity was rushing in to push down the ask than to prop up the bid. If you put too much pressure on one side of the bid and ask spread, you can always find someone to take the other side of the trade. That's why (I think) Schaeffer used the phrase "initiated by buyers, not sellers" even though, of course, there was one of each for every trade.<BR/><BR/>Excess liquidity may be part of the answer, but, if so, why would it be one-sided?Bill Lubyhttps://www.blogger.com/profile/01241003017364820134noreply@blogger.comtag:blogger.com,1999:blog-897456774486153841.post-36850575800463989022007-02-14T09:19:00.000-08:002007-02-14T09:19:00.000-08:00Aren't Justin and Schaeffer both missing something...Aren't Justin and Schaeffer both missing something? If there are VIX sellers, surely there must be VIX buyers on the other side of the trade? VIX is going down because option sellers are willing to sell at lower prices and buyers are willing to buy at lower prices. This happens IMHO because risk is diminishing with increasing equity prices and "global liquidity".Fontimamahttps://www.blogger.com/profile/10029029359716503903noreply@blogger.com