tag:blogger.com,1999:blog-897456774486153841.post4789680076313088226..comments2024-03-29T03:46:10.767-07:00Comments on VIX and More: Inverted VIX: The US TourBill Lubyhttp://www.blogger.com/profile/01241003017364820134noreply@blogger.comBlogger7125tag:blogger.com,1999:blog-897456774486153841.post-57682842386379743582008-05-20T05:32:00.000-07:002008-05-20T05:32:00.000-07:00@all,the CBOE at least adjusted the VXO close from...@all,<BR/><BR/>the CBOE at least adjusted the VXO close from 12.86 to 16.68 a few minutes ago (in their CBOE Daily Market Statistics only; CBOE's classic quote page still shows the incorrect values). <BR/><BR/>I think the low (9.44) will be adjusted shortly as well.<BR/><BR/>Best regards<BR/>FrankAnonymousnoreply@blogger.comtag:blogger.com,1999:blog-897456774486153841.post-14861604519674614202008-05-19T16:19:00.000-07:002008-05-19T16:19:00.000-07:00Bill,None of the other CBOE data I use show anythi...Bill,<BR/><BR/>None of the other CBOE data I use show anything out of the ordinary, so I am going to assume for the moment it was a computer error of some kind. For now I'll use VIX today with a note to check further over the next few days.<BR/><BR/>I like your inverted VIX study very much. I do note that whereas most of the major bottoms of prior years had inverted VIX making a "higher low" at a lower price low, this "sentiment divergence" did not happen in March 2008.Anonymousnoreply@blogger.comtag:blogger.com,1999:blog-897456774486153841.post-56227991720727497692008-05-19T16:10:00.000-07:002008-05-19T16:10:00.000-07:00Interesting stuff.I'm looking at a 1 minute intra-...Interesting stuff.<BR/><BR/>I'm looking at a 1 minute intra-day chart of the VXO and it shows some strange activity to the downside starting just after 3:15 ET, with the VXO dropping steadily from the high 16s all the way down to 9.55 over the course of about 20 minutes. The index then bounces back up to 12.86, with no data after about 3:53 ET.<BR/><BR/>It looks like a data malfunction, as the VIX, VXD and VXN were all moving in the opposite direction of the VXO values during this period.<BR/><BR/>Cheers,<BR/><BR/>-Bill<BR/><BR/>P.S. Frank, I got the notes and replied directly to that email address. Thanks for the image.Bill Lubyhttps://www.blogger.com/profile/01241003017364820134noreply@blogger.comtag:blogger.com,1999:blog-897456774486153841.post-66847943714937806742008-05-19T15:52:00.000-07:002008-05-19T15:52:00.000-07:00VXO devotees are confused by today's close. VXO di...VXO devotees are confused by today's close. VXO did apparently trade down as shown on this 5 minute chart. And it traded down with ESM8 which is counter-intuitive for me. <BR/><BR/> http://img2.freeimagehosting.net/uploads/31a4241350.gifAnonymousnoreply@blogger.comtag:blogger.com,1999:blog-897456774486153841.post-55289251950788996802008-05-19T14:59:00.000-07:002008-05-19T14:59:00.000-07:00Frank,Thanks so very much. The CBOE site just pos...Frank,<BR/><BR/>Thanks so very much. The CBOE site just posted their 05-19 end of day values, and they have VXO at 12.86 as well. It will be interesting seeing if this value gets changed. <BR/><BR/>http://www.cboe.com/data/mktstat.aspx<BR/><BR/>Thank you again for the reply. <BR/><BR/>Regards, Jim P.Anonymousnoreply@blogger.comtag:blogger.com,1999:blog-897456774486153841.post-89126693819715026592008-05-19T14:12:00.000-07:002008-05-19T14:12:00.000-07:00Jim,this will of course be an data issue. At the m...Jim,<BR/><BR/>this will of course be an data issue. At the moment all data supplier like optionsXpress, Stockcharts, Yahoo -even the CBOE itself- show the same incorrect VXO data (o/h/l/c 17.39/17.65/9.44/12.86). I think that will be corrected tonight.<BR/><BR/>Or if correct, today would really have been a once in a lifetime event :-)<BR/><BR/>Bill: Did you receive the two emails that I sent you a few hours ago including a visualization of the distribution of all real VIX values since 02/01/1990 (showing a almost perfect lognormal distribution) ?<BR/><BR/>Best regards<BR/>FrankAnonymousnoreply@blogger.comtag:blogger.com,1999:blog-897456774486153841.post-71843428377893483682008-05-19T13:46:00.000-07:002008-05-19T13:46:00.000-07:00Bill, For the close on Mon. 05-19, Yahoo is showin...Bill, <BR/>For the close on Mon. 05-19, Yahoo is showing a quote for the ^VIX at 17.07, a gain of 3.64%,....<BR/>and a quote for the ^VXO at 12.86, a drop of 25.5%. This doesn't seem right. Do you have a different quote for VXO? Or, if the VXO 12.86 quote for VXO is correct, do<BR/>you know what accounts for the large disparity between the VIX<BR/>and the VXO? Probably just a data glitch on Yahoo's part. Thanks, JimAnonymousnoreply@blogger.com