High Resolution Version of “The Year in VIX and Volatility” Chart Available

I had so many requests for a high resolution version of my chart from The Year in VIX and Volatility (2010) that I elected to make it available for download here. As an added bonus, a similar chart for 2009 is available here.

Related posts:

• The Year in VIX and Volatility (2010)
• Chart of the Week: The Year in Economic Data (2010)
• Chart of the Week: The VIX and Volatility in 2009
• The Year in Global Volatility (2008)

[source: StockCharts.com]

Disclosure(s): none

The Year in VIX and Volatility (2010)

One of everybody’s favorite charts from a year ago was the basis for Chart of the Week: The VIX and Volatility in 2009, in which I created a fairly concise annotated summary of the year in VIX and volatility.

For some reason, the same chart seemed harder to create for 2010, partly because the volatility triggers were less discrete and seemed to arrive in recurring waves, each time apparently posing a different size threat. The European sovereign debt crisis is a prime example of the waves of threats, as are the concerns about China’s ability to navigate the dual hazards of slowing growth and rising inflation. In the U.S., concerns about a double-dip recession waxed and waned, while investors scratched their heads wondering just how much to worry about the foreclosure crisis or events on the Korean peninsula.

On the volatility side, the highlights of 2010 included the ‘flash crash’ in May and an even bigger VIX spike (to 48.20) toward the end of the month as the European sovereign debt crisis threatened to snowball out of control, pushing the VIX to a higher close than at any point prior to the 2008 financial crisis.

Investors also struggled under the psychological weight of the Deepwater Horizon oil spill in the Gulf of Mexico, which imparted a sense of helplessness across the U.S. and helped to dampen any sort of optimism about the economy and perhaps even technological progress in general.

In spite of all this, stocks rallied impressively for the last four months of the year, due in part to a second round of quantitative easing on the part of the Fed.

The year saw record volumes in a number of VIX-related products and included new daily record volumes in VIX options (June 11), VIX futures (November 16) and the increasingly popular iPath S&P 500 VIX Short-Term Futures ETN, which most investors know by its ticker symbol, VXX (November 23).

Volatility made its mark as a peripheral asset class in 2010, with VIX-based ETNs, making it much easier for retail investors to make direct investments in volatility. My guess is that this development is just a beginning and 2011 could mark a watershed year in terms of recognizing of volatility as a mainstream asset class.

Related posts:

• Chart of the Week: The Year in Economic Data (2010)
• Chart of the Week: The VIX and Volatility in 2009
• The Year in Global Volatility (2008)
• Chart of the Week: Visualizing the Flash Crash
• VIX Approaches Pre-2008 Record Highs
• Turmoil in the Oil Patch
  

[source: StockCharts.com]

Disclosure(s): short VXX at time of writing

Chart of the Week: The Year in Economic Data (2010)

One of the blog’s surprise hits in 2010 was a series of charts I began which started out with the unwieldy title of Trends in Economic Data Relative to Expectations.

I have utilized this chart format to track the performance of key economic data releases relative to consensus expectations.

The data are sorted into five groups and include economic reports such as the ones highlighted below:

• Manufacturing/General – GDP, ISM, Industrial Production, Capacity Utilization, Durable Goods, Factory Orders, Regional Fed Indices, Productivity, etc.
• Housing/Construction – Building Permits, Housing Starts, Existing Home Sales, New Home Sales, Pending Home Sales, S&P/Case-Shiller Home Prices, Construction Spending, etc.
• Employment – Employment Report, Jobless Claims, etc.
• Consumer – Retail Sales, Consumer Confidence, Consumer Sentiment, Personal Income, Personal Spending, etc.
• Prices/Inflation – Producer Price Index, Consumer Price Index, etc.

For each report, I evaluate whether the data exceeds or falls short of consensus expectations. I then aggregate the data over time to see the extent to which certain segments of the economy are trending higher or lower relative to expectations.

The chart tells a couple of interesting stories for 2010. First, it was the manufacturing sector which provided the bulk of the positive surprises during the first half of the year and the propelled stocks to their April highs.

Manufacturing began to turn down in May, following stocks down. This was just about the time that housing and construction started to provide some evidence of positive surprises, but that sector did nothing to stem the tide of falling stock prices.

When stocks started to turn around at the end of August and make their big bullish move for the year, this coincided with an improving employment picture, a rebound in manufacturing and an upturn in the consumer.
Over the course of the year, economic data came very close to meeting expectations for all sectors except housing and construction, which was the surprise winner in the data vs. expectations sweepstakes.

Finally, as the year came to a close, it was employment which was most highly correlated with changes in stock prices, followed closely by a virtual dead heat between housing/construction and the consumer.

Related posts:

• Economic Data Frozen Until Next Thursday
• More Upticks in Economic Data vs. Expectations
• Economic Data Trends Improving
• Chart of the Week: Updated Economic Data Trends
• Economic Data Trends in Advance of Nonfarm Payrolls
• Trends in Economic Data Relative to Expectations
  

Disclosure(s): none

Top Posts of 2010 (Midyear Edition)

This is the fourth year I have been reporting on the most popular posts at VIX and More. As of June 30^th, the 2010 posts which have been read by the largest number of unique readers are as follows:

1. Chart of the Week: CBOE Equity Put to Call Ratio Nears All-Time Low
2. Largest Pullback Since March 2009 Rally Began
3. Short-Term and Long-Term Implications of the 30% VIX Spike
4. Chart of the Week: Total Put to Call Ratio
5. Rule of 16 and VIX of 40
6. VIX Approaches Pre-2008 Record Highs
7. SPX Pullback Now Second Largest Since March 2009
8. Bears Emboldened By Low CBOE Equity Put to Call Ratio
9. Chart of the Week: VXX vs. VIX
10. Charting the Selloff with an Andrews Pitchfork
11. Technical Resistance Looms in the S&P 500 Index
12. Chart of the Week: The Flight-to-Safety Trade
13. Chart of the Week: Ten-Year Treasury Note Yield
14. SPX Historical Volatility at Two Year Low
15. Mamis Overbought-Oversold Indicator
16. Chart of the Week: VXX Celebrates One Year of Futility
17. VIX Implied Volatility Exceeds 2008 Crisis Levels
18. Are You Watching Greece?
19. Some Favorite ETF Sites
20. Correlation of VIX and “VIX Index” Searches on Google
21. Great Metaphor for the Financial Markets
22. VIX Price Channel Chart
23. Chart of the Week: SPX, Fibs and 200 Day MA
24. The Elusive Trading Range
25. The Art of Being Wrong

For more on related subjects, readers are encouraged to visit the posts tagged with the label archival or check out:

• Top Posts of 2009
• Top Posts of 2008
• Top 25 Most Read Posts of 2007
• The Post of the Month: An Informal History of VIX and More

…and perhaps investigate the more free-form…

• VIX and More 2009 Year in Review
• Chart of the Week: The VIX and Volatility in 2009

Disclosure(s): none