tag:blogger.com,1999:blog-897456774486153841.post7313509066092426592..comments2024-03-28T06:07:36.391-07:00Comments on VIX and More: Volatility RIP?Bill Lubyhttp://www.blogger.com/profile/01241003017364820134noreply@blogger.comBlogger10125tag:blogger.com,1999:blog-897456774486153841.post-63930874319726576082008-01-28T02:17:00.000-08:002008-01-28T02:17:00.000-08:00January 28, things have changed quite a bit from w...January 28, things have changed quite a bit from what volatility looked like on January 16.<BR/><BR/>I swear sometimes the market listens to our thoughts, then like an wry old man, looks over its glasses, winks, and does something different.<BR/><BR/>I think the intraday high of vxo (old style) was 37 in the days after Jan.16 and on that basis, was a 3 year high point.Anonymousnoreply@blogger.comtag:blogger.com,1999:blog-897456774486153841.post-82240670299640217492008-01-16T17:00:00.000-08:002008-01-16T17:00:00.000-08:00"the expectation of a forthcoming emergency rate c..."the expectation of a forthcoming emergency rate cut limiting upside potential for puts"<BR/><BR/>I think this pretty much covers it.F-Traderhttps://www.blogger.com/profile/09652687845022318907noreply@blogger.comtag:blogger.com,1999:blog-897456774486153841.post-10558991081093134442008-01-16T16:27:00.000-08:002008-01-16T16:27:00.000-08:00I think we have been spoiled with the recent spike...I think we have been spoiled with the recent spikes in volatility given the severe lack of volatility from 2003 to 2006. Historically, not <I>every</I> bottom has been hit by a significant volatility spike (although most of the major bottoms have).<BR/><BR/>With the VIX currently knocking around the 50-day MA and looking good there, a move back to the mid-30s cannot be ruled out. <BR/><BR/>Until then - keep watching!<BR/><BR/>DJFDeclan Fallonhttps://www.blogger.com/profile/01529005956420211656noreply@blogger.comtag:blogger.com,1999:blog-897456774486153841.post-78959049372538675482008-01-16T13:07:00.000-08:002008-01-16T13:07:00.000-08:00I'm with you, Bill, on it not HAVING to make a spi...I'm with you, Bill, on it not HAVING to make a spike to form a bottom - but ironically, if the index forms a bottom without a spike, my Timing system will continue to call for 50% cash!<BR/><BR/>You are the second person to present to me (third to present in print, since I passed it to Adam) that the depressed VIX could be simply because those who want protection have ALREADY BOUGHT IT, limiting the demand for options.nodoodahshttps://www.blogger.com/profile/05324705536306995431noreply@blogger.comtag:blogger.com,1999:blog-897456774486153841.post-78318746211537972012008-01-16T12:40:00.000-08:002008-01-16T12:40:00.000-08:00I would be remiss if I didn't also provide a link ...I would be remiss if I didn't also provide a link to a very interesting analysis of the sideways VIX by Marty Chenard: <A HREF="http://www.stocktiming.com/Stock_Market_Models_FAQ/Stock-Market-Insights.htm" REL="nofollow">What the Bull and Bear Leadership Stocks are telling us ...</A>Bill Lubyhttps://www.blogger.com/profile/01241003017364820134noreply@blogger.comtag:blogger.com,1999:blog-897456774486153841.post-17328010226992138122008-01-16T12:39:00.000-08:002008-01-16T12:39:00.000-08:00hasn't it been relatively normal for the volatilit...hasn't it been relatively normal for the volatility indexes to put in a set of declining tops as the market finds a bottom? seems to me that it did so in mid-2006, mid-2005, mid-2004, march 2003, 2h2002, april-may 2000, late 1997... <BR/><BR/>anyway, though the absolute level is historically not high, i actually thought the VXN put in a very respectable dislocation from its moving averages in august particularly -- and has been making these successive lower highs on lower lows in price since. seems to me that it could be prelude to a significant (bear market) rally, but all the usualy caveats apply of course.gaius mariushttps://www.blogger.com/profile/10618655639631695070noreply@blogger.comtag:blogger.com,1999:blog-897456774486153841.post-83452917701856287602008-01-16T12:23:00.000-08:002008-01-16T12:23:00.000-08:00Goldman Sez:1. Absence of demand. The lack of put...Goldman Sez:<BR/><BR/>1. Absence of demand. The lack of put buying - and vol flow in general - is seemingly inconsistent with price action. I think this is a function that core portfolio risk - both gross and net - is running low in the levered community. the attached chart of “concentrated” hedge fund positions clearly points to steady delevering. Until that turns around who needs puts.<BR/><BR/>2. the longer dated part of the vol curve - e.g 5yrs and out in the variance space - has seen activity that’s skewed towards selling. Consequently the dealing community is long vega.<BR/><BR/>3. As mentioned before, equity implieds - both vs realized and vs credit spreads - wasn’t cheap. I think the first factor is getting to more attractive levels; the implied-realized spread in 3-month expiry SPX options is now below average levels of the past year. <BR/><BR/>Took a stab at it, nice work btw.<BR/><BR/>1440WallStreet.com<BR/><BR/>regards,<BR/> <BR/>SJAnonymousnoreply@blogger.comtag:blogger.com,1999:blog-897456774486153841.post-73795565700496315372008-01-16T11:47:00.000-08:002008-01-16T11:47:00.000-08:00Thanks for weighing in here, Barry. Your opinion ...Thanks for weighing in here, Barry. Your opinion is consistent with 'conventional wisdom' about the VIX and matches <A HREF="http://www.optionetics.com/market/articles/18844" REL="nofollow">the take </A>that Jay Kaeppel had today. Still, I am not convinced that <B><I>all</I></B> bottoms have to be capitulation bottoms with a dramatic VIX spike.<BR/><BR/>I don't think the VIX is dead; I suspect it's just on vacation. IMHO, the VIX will be back, but it doesn't <B><I>have to</B></I> hit 35 before the markets put in a bottom.<BR/><BR/>We could very well have a reversal bottom today with lots of shorts covering tomorrow to get out of the way of the possibility of a pre-expiration emergency rate cut.<BR/><BR/>Cheers,<BR/><BR/>-BillBill Lubyhttps://www.blogger.com/profile/01241003017364820134noreply@blogger.comtag:blogger.com,1999:blog-897456774486153841.post-3682464546017592212008-01-16T11:11:00.000-08:002008-01-16T11:11:00.000-08:00A simple answer is that the crowd remains too sang...A simple answer is that the crowd remains too sanguine, and have not yet gotten too panicky . . .<BR/><BR/>Its not RIP -- just not there yetRitholtzhttps://www.blogger.com/profile/08608448405502237269noreply@blogger.comtag:blogger.com,1999:blog-897456774486153841.post-64223682733775308602008-01-16T09:42:00.000-08:002008-01-16T09:42:00.000-08:00FWIW, Bespoke it out today with a nice chart of th...FWIW, Bespoke it out today with a <A HREF="http://bespokeinvest.typepad.com/bespoke/2008/01/wheres-the-vix.html" REL="nofollow">nice chart</A> of the muted VIX phenomenon.Bill Lubyhttps://www.blogger.com/profile/01241003017364820134noreply@blogger.com