Wednesday, January 31, 2007

A Month By Month Look at the VIX

I’ll cut to the chase and put the graph of the monthly closes (with all values normalized to a monthly mean of 100) in the VIX first:

Since the picture tells almost the whole story, I’ll add only a few supplemental comments:

  • We are currently in the middle of the November-March doldrums
  • March-June and June-September are the two monthly volatility trends to keep an eye on
  • From a “sell in May and go away” perspective, the May-August period has included the VIX high month only twice, but the low VIX month ten out of seventeen years


Anonymous said...

Bill , quite an interesting data. I shall now see how to cash this in the options market :)


Anonymous said...

Bill, Thanks for the analysis. I took the liberty to quote in my blog posting about hedge fund December performance spikes.
Regards, Thomas

Bill Luby said...

Thanks for working some of my research into a particularly thought provoking post, Thomas.



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