Thursday, February 19, 2009

VIX Sluggish as Market Probes Lows

A reader asked why the VIX was down almost 5% with the SPX basically flat.

In addition the possibility of statistical white noise, there are several factors which may be affecting today’s VIX readings relative to the SPX. In no particular order, they include:

  • Much of the news cycle uncertainty is gone (earnings season is essentially over, Geithner made his speech about TARP 2.0, the FOMC minutes are out, almost all of the key economic data for February has been released, etc.)

  • Most of the recent volatility has been in the banks (KBE) and banks are an increasingly smaller portion of the S&P 500 index (two years ago financials (XLF) were 22% of the SPX, now they are only 10%)

  • VIX futures indicate expectations are for a VIX in the low 40s during the second half of the year

  • Low volatility leading into options expiration – while the SPX was down 4.6% on Tuesday, in four of the past five days the daily closing change has been no more than +/-1%

  • The VIX is significantly higher than the 10, 20, 30 and 50 day historical volatility in the SPX – all of which is currently under 40 (see below)

[source: VIXandMore]


Anonymous said...

Could also mean the market is prepared for and expects a sell-off, maybe to SPX 750 or so.

Anonymous said...

I have been exploring for a little bit for any high quality articles or weblog posts
in this sort of area . Exploring in Yahoo I eventually stumbled
upon this website. Reading this information So i am
glad to show that I have an incredibly just right uncanny feeling I discovered exactly what I needed.
I such a lot certainly will make certain to do not fail to remember this web
site and provides it a look regularly.

Feel free to surf to my homepage - bankruptcy in florida

DISCLAIMER: "VIX®" is a trademark of Chicago Board Options Exchange, Incorporated. Chicago Board Options Exchange, Incorporated is not affiliated with this website or this website's owner's or operators. CBOE assumes no responsibility for the accuracy or completeness or any other aspect of any content posted on this website by its operator or any third party. All content on this site is provided for informational and entertainment purposes only and is not intended as advice to buy or sell any securities. Stocks are difficult to trade; options are even harder. When it comes to VIX derivatives, don't fall into the trap of thinking that just because you can ride a horse, you can ride an alligator. Please do your own homework and accept full responsibility for any investment decisions you make. No content on this site can be used for commercial purposes without the prior written permission of the author. Copyright © 2007-2021 Bill Luby. All rights reserved.
Web Analytics