tag:blogger.com,1999:blog-897456774486153841.post1855202263718255571..comments2024-03-28T06:07:36.391-07:00Comments on VIX and More: VIX High or Low? It Depends…Bill Lubyhttp://www.blogger.com/profile/01241003017364820134noreply@blogger.comBlogger7125tag:blogger.com,1999:blog-897456774486153841.post-82435911997805079082009-04-14T15:30:00.000-07:002009-04-14T15:30:00.000-07:00Bill
Can I suggest another way of viewing whether...Bill<br /><br />Can I suggest another way of viewing whether the VIX is high or low? How about comparing the VIX with what you think it 'should' be given the fundamentals / economy etc. On that basis I think that the VIX is extremely.....low.<br /><br />DouglasDouglasnoreply@blogger.comtag:blogger.com,1999:blog-897456774486153841.post-59754731488080233672009-04-14T04:25:00.000-07:002009-04-14T04:25:00.000-07:00I view the 40 line as resistance in a bull market ...I view the 40 line as resistance in a bull market and support in a bear market. <br /><br />It is harder to push a cart up a hill so the rate of ascent is slow and steady; typical of a bull market. On the descent it is more difficult to control the cart's speed as its weight contributes to the downward momentum; action typical of a bear market. <br /><br />Forty is the new zero for the VIX!Declan Fallonhttps://www.blogger.com/profile/01529005956420211656noreply@blogger.comtag:blogger.com,1999:blog-897456774486153841.post-46179357911732355852009-04-13T13:22:00.000-07:002009-04-13T13:22:00.000-07:00This may or may not be the place to ask the questi...This may or may not be the place to ask the question, but can you comment on the Credit Suisse Fear Barometer? Can it be used with the VIX to extract more information out of the data?<BR/><BR/><BR/>Another BillAnonymousnoreply@blogger.comtag:blogger.com,1999:blog-897456774486153841.post-32801372059465920612009-04-13T11:42:00.000-07:002009-04-13T11:42:00.000-07:00i think vix has more room to go lower. my lowest ...i think vix has more room to go lower. my lowest target range is 30. i also think the market will tank soon after vix reaches its low.stonebathttps://www.blogger.com/profile/13067880752297712041noreply@blogger.comtag:blogger.com,1999:blog-897456774486153841.post-30614787202789588322009-04-13T10:26:00.000-07:002009-04-13T10:26:00.000-07:00Bill, I have to respectfully disagree that this is...Bill, I have to respectfully disagree that this is a good way to look at mean reversion for the VIX. I have to admit I haven't done a careful analysis of historical volatility, but I did glance at a chart once and it seemed to support my general impression of the VIX data.<BR/><BR/>Pretty much the idea is that there is something "special" about the 30-40 range. I'm not sure if it's mathematical or psychological, but the market really doesn't like being in that range and it's some sort of switching mechanism that was really only broken once in the post-WWII period with the 87 crash and the Great Depression volatility looks similar to today.<BR/><BR/>In my (admittedly qualitative) viewpoint, you can't model that region with a mean reversion type process, and in nonlinear systems vocabulary it's more of a bifurcation. I'd be very surprised if the VIX meandered very long where it is, I think it'll either jump back above 40 in the next few weeks and continue upwards dynamics there, or (what I have money on) is for it to collapse very quickly in two-three weeks as the rally days get taken off HV.Mikkelhttps://www.blogger.com/profile/00169256264012468618noreply@blogger.comtag:blogger.com,1999:blog-897456774486153841.post-30437231635979518412009-04-13T08:47:00.000-07:002009-04-13T08:47:00.000-07:00Hi Mark,For me the choice has been an easy one sin...Hi Mark,<BR/><BR/>For me the choice has been an easy one since November, but now I am neutral on volatility. More accurately I think volatility lifts for the next two weeks or so, then starts back down again...but it's anyone's guess at this stage.<BR/><BR/>Cheers,<BR/><BR/>-Bill<BR/><BR/>P.S. I finally got around to ordering your book from Amazon and am looking forward to reading it.Bill Lubyhttps://www.blogger.com/profile/01241003017364820134noreply@blogger.comtag:blogger.com,1999:blog-897456774486153841.post-33156487119510441802009-04-13T08:45:00.000-07:002009-04-13T08:45:00.000-07:00Bill,I discussed the same idea today: Is it time t...Bill,<BR/><BR/>I discussed the same idea today: Is it time to buy or sell vega, based on it's Friday close under 37.Mark Wolfingerhttp://blog.mdwoptions.com/options_for_rookies/2009/04/vix-drops-below-37-time-to-buy-or-sell-vega-.htmlnoreply@blogger.com