tag:blogger.com,1999:blog-897456774486153841.post4368597139578802892..comments2024-03-28T06:07:36.391-07:00Comments on VIX and More: Recent Volatility and VIX Macro CyclesBill Lubyhttp://www.blogger.com/profile/01241003017364820134noreply@blogger.comBlogger12125tag:blogger.com,1999:blog-897456774486153841.post-966588520387639522008-11-01T09:54:00.000-07:002008-11-01T09:54:00.000-07:00http://www.flickr.com/photos/31205984@N04/29912333...http://www.flickr.com/photos/31205984@N04/2991233331/sizes/o/<BR/>valerioAnonymousnoreply@blogger.comtag:blogger.com,1999:blog-897456774486153841.post-2075759824452574032008-10-31T07:52:00.000-07:002008-10-31T07:52:00.000-07:00Since 27 Oct VIX/VXV didn't break that support.val...Since 27 Oct VIX/VXV didn't break that support.<BR/>valeriogaribaldi.ghttps://www.blogger.com/profile/07502706294504937105noreply@blogger.comtag:blogger.com,1999:blog-897456774486153841.post-69009441828806774642008-10-31T06:53:00.000-07:002008-10-31T06:53:00.000-07:00http://www.flickr.com/photos/31205984@N04/29893280...http://www.flickr.com/photos/31205984@N04/2989328088/sizes/o/<BR/><BR/>http://www.flickr.com/photos/31205984@N04/2988474937/sizes/o/<BR/>..hard to brek 1.15 area.<BR/>BEST REGARD, valerio (from Italia)Anonymousnoreply@blogger.comtag:blogger.com,1999:blog-897456774486153841.post-48156382248447535322008-10-30T18:43:00.000-07:002008-10-30T18:43:00.000-07:00I WOULD LOVE VIX AT 20 !!!!!actually i would be ve...I WOULD LOVE VIX AT 20 !!!!!<BR/><BR/><BR/>actually i would be very grateful with the vix around 30 to 40, which i believe will be the norm for some timeAnonymousnoreply@blogger.comtag:blogger.com,1999:blog-897456774486153841.post-65594425571221526602008-10-30T18:29:00.000-07:002008-10-30T18:29:00.000-07:00"I would be very surprised if the VIX were not bac..."I would be very surprised if the VIX were not back in the 20s in another 2-3 months."<BR/><BR/>I don't believe that's likely. I believe VIX decreases in value far more slowly than it rises.<BR/><BR/>I'd (theoretical cash only) wager that it won't dip below 30 (for more than a couple of days) through 2009.Anonymousnoreply@blogger.comtag:blogger.com,1999:blog-897456774486153841.post-58797223675651675592008-10-30T14:40:00.000-07:002008-10-30T14:40:00.000-07:00Mike, Bill,the rolling 22-day (Pearson) (negative)...Mike, Bill,<BR/><BR/>the rolling 22-day (Pearson) (negative) correlation between the *cash* VIX and the S&P 500 is regularly between -0.75 and -0.99 (since 2/1/1990 on 50% of all 4,746 trading days, and between -0.50 and -0.99 on 75% of all trading days). The rolling 22-day (Pearson) correlation between the VIX front month future and the S&P 500 is very high as well, but almost always at least -0.10 (regularly more) points <B>less</B> than the correlation between the *cash* VIX and the S&P 500.<BR/><BR/>The main reason is that the VIX front month future contains a mean reversion factor, which plays the heaviest role the last trading days before settlement. e.g. although there may be a very strong S&P 500 and a correspondingly decreasing *cash* VIX in the days before the VIX future settlement day, but if the VIX front month future showed a huge negative premium versus the *cash* VIX, we may see no movement at all in the VIX front month future or even an increasing VIX front month future instead (closing the negative premium) which would have a negative impact on the correlation between the S&P 500 and the VIX front month future (while the correlation between the *cash* VIX and the S&P 500 works well).<BR/><BR/>Best regards<BR/>FrankAnonymousnoreply@blogger.comtag:blogger.com,1999:blog-897456774486153841.post-78663354871231612372008-10-30T12:50:00.000-07:002008-10-30T12:50:00.000-07:00Bill, thanks for getting back to me and I look for...Bill, thanks for getting back to me and I look forward to seeing what you think next week. I was not aware of the VIN and I will definitely try to get some data on that. Keep up the great blog.<BR/><BR/>MikeAnonymousnoreply@blogger.comtag:blogger.com,1999:blog-897456774486153841.post-53102013218653249002008-10-30T12:10:00.000-07:002008-10-30T12:10:00.000-07:00That is an interesting hypothesis and question, Mi...That is an interesting hypothesis and question, Mike.<BR/><BR/>I would probably have to run some numbers before I could give your question the answer it deserves -- and I'm afraid that is something I probably won't get around to until next week at the earliest.<BR/><BR/>In the interim, I thought I'd throw another data point into the mix for you, the VIN (CBOE Near term VIX), which tracks the VIX calculations only for the front month of the SPX options used in the VIX calculations. Today these have 19 days until expiration (the index will roll to the next month at 8 days until expiration.)<BR/><BR/>Unfortunately the CBOE doesn't yet publish information about the VIN, but you might want to seek out the historical data (it was launched on 8/25/08) and see if it adds another piece to the puzzle.<BR/><BR/>I'll see if I can get a better answer for your question; I hope this helps for now.<BR/><BR/>Cheers,<BR/><BR/>-BillBill Lubyhttps://www.blogger.com/profile/01241003017364820134noreply@blogger.comtag:blogger.com,1999:blog-897456774486153841.post-68748881525721983462008-10-30T11:55:00.000-07:002008-10-30T11:55:00.000-07:00To be more clear, my hypothesis for the SPX-vix co...To be more clear, my hypothesis for the SPX-vix correlation is the following: the observed relationship between the VIX and the SPX is actually the correlation between the SPX and the front month VIX futures. Since, the spread between the futures and the spot has historically been small, this discrepancy was only evident when the spread bwtween the vix spot and futures widened-- namely on volatile market days.Anonymousnoreply@blogger.comtag:blogger.com,1999:blog-897456774486153841.post-80102571972105525132008-10-30T11:40:00.000-07:002008-10-30T11:40:00.000-07:00Bill, first i'd like to say I read your blog every...Bill, first i'd like to say I read your blog everyday and find the information you post, and the subsequent comments, very educational and though provoking. I have a question for you regarding the hedging of the vix options using the front month futures. I am an active options trader and have attempted to use the spy etf as a hedge against my front month vix options with mixed results. I know you have posted here resrearch results regarding the inverse relationship between the spx and the vix spot price. Furthermore, you went on to note that the perceived .75 negative correlation seems to break down when there is a larger than three percent move in the spx. Needless to say, three percent moves are almost a daily occurrence as of recent and and this relation ship rarely holds... although there is a definte correlation. <BR/><BR/>This brings me to my question: since the vix options are priced using the front month futures price more so than the spot vix, is there a correlation you have noticed between the SPX and the front month vix futures movement which may create a more accurate hedge for my vix options? <BR/><BR/>observation: since the spread has now widened tremendously between he front month futures and the spot vix, I believe the lack of integrity for the spx-spot vix hedge when the market moves more than 3% is simply because the front month futures usually would move with much less magnitude and, thus, give the appearance that the correlation was not reliable. However, in fact, there may be a much more reliable correlation with the vix front month futures price. In retrospect, attempting to hedge according to the spot vix price instead of using the front month futures as the underlying may have led to my mixed success-- namely on high volatility periods. before I jump back again the Vix options full steam, I would like to see if you, or another blog reader, could shed some light on the subject. Thanks guys.Anonymousnoreply@blogger.comtag:blogger.com,1999:blog-897456774486153841.post-56176930956409168852008-10-30T10:14:00.000-07:002008-10-30T10:14:00.000-07:00Thanks for the comment, IV.A VIX in the 20's in 2-...Thanks for the comment, IV.<BR/><BR/>A VIX in the 20's in 2-3 months would probably mean a 95% chance or better that the markets are higher than current levels.<BR/><BR/>There are no guarantees, of course, but there is a very strong negative correlation between the VIX and the markets.<BR/><BR/>Cheers,<BR/><BR/>-BillBill Lubyhttps://www.blogger.com/profile/01241003017364820134noreply@blogger.comtag:blogger.com,1999:blog-897456774486153841.post-37428514910378227462008-10-30T10:09:00.000-07:002008-10-30T10:09:00.000-07:00I am new to understanding VIX....but a stupid ques...I am new to understanding VIX....but a stupid question is<BR/><BR/>Does a VIX in 20's in 2-3 months mean a much higher markets for sure or not?<BR/><BR/>Thanks for an interesting blog!!!ivhttps://www.blogger.com/profile/10069550003556355585noreply@blogger.com