VIXandMore - Latest Comments in http://vixandmore.blogspot.com/2008/03/next-up-vix-101.html

Re: http://vixandmore.blogspot.com/2008/03/next-up-vix-101.html

Eduard — Wed, 12 Mar 2008 12:29:00 -0000

Felicitation for your excellent blog. One may also add the following questions regarding the VIX : 1) Does the Vix (the futures) really work ? Are there some arbitrage opportunity between the options and the futures ? how can a long VIX strategy potentially be used as a hedge to the S&P portfolio ?

Cheers

Re: http://vixandmore.blogspot.com/2008/03/next-up-vix-101.html

Anonymous — Mon, 10 Mar 2008 11:58:00 -0000

I always thought the VIX was more or less the Put/Call ratio for the SPX. I would love to see a more exact definition.

Re: http://vixandmore.blogspot.com/2008/03/next-up-vix-101.html

Bill Luby — Mon, 10 Mar 2008 01:46:00 -0000

Excellent comments, all. I'll see what I can do.

Cheers,

-Bill

Re: http://vixandmore.blogspot.com/2008/03/next-up-vix-101.html

GS751 — Sat, 08 Mar 2008 21:42:00 -0000

that would be really cool.

Re: http://vixandmore.blogspot.com/2008/03/next-up-vix-101.html

Felix — Fri, 07 Mar 2008 16:26:00 -0000

The relationship between VIX futures and options -- or more specifically, the disconnect between the cash VIX and VIX options -- should probably be emphasized. Links to the CBOE VIX minisite & the monthly CFE newsletter on volatility that Larry McMillan writes might be useful.

The various VIX ratios are interesting, but I haven't found them to be good for capturing the relative intraday movements of the SPX and VIX... stacking the two charts 5-min. or even 1-min one-day charts on top of each other is a good way to see this.

Today was a good example of this, going into the close, it looks like the SPX is going to be down about 11, and the VIX will be pretty flat, down about 0.10 -- not particularly profound from a SPX:VIX ratio perspective. But looking at it intraday, we see an opening down move in the SPX and a gap up in the VIX, a steady drop of the VIX during the first hour rally of the SPX, then the VIX rising throughout the market selloff during most of the day, and then AFTER the SPX hit its intraday low and rallied up in the late afternoon, the VIX reached its intraday high and dropped sharply. Finally, as the SPX drifted down into the close, the VIX rose up.

Put another way, a comparison of the VIX to the absolute value of the SPX is not nearly as useful or interesting to me as the dynamic, relative movement of the pair. I haven't put enough effort into describing this mathematically, but a crude version would be to plot the % change of the SPX vs. the % change of the VIX.

tnt

Re: http://vixandmore.blogspot.com/2008/03/next-up-vix-101.html

fiaz — Fri, 07 Mar 2008 15:07:00 -0000

reading all of the above articles will lead to further thinking/questiins for me.

Re: http://vixandmore.blogspot.com/2008/03/next-up-vix-101.html

Anonymous — Fri, 07 Mar 2008 12:50:00 -0000

Perhaps you might comment on technical patterns and trading signals? How true may they be, and what indicies may be most related, + or -?

Spankey

Re: http://vixandmore.blogspot.com/2008/03/next-up-vix-101.html

Dragonsbane — Fri, 07 Mar 2008 11:05:00 -0000

Looking forward to VIX 101... thx!

Re: http://vixandmore.blogspot.com/2008/03/next-up-vix-101.html

JKerviel — Thu, 06 Mar 2008 23:14:00 -0000

what is the best way to trade with a view on the vix? options, futures, etc.

how does the fact that spot vix is a representation of the implied vol 30-days forward, affect trading strategies?

how closely related are the futures with the spot index?

PS - keep up the great work

Re: http://vixandmore.blogspot.com/2008/03/next-up-vix-101.html

Anonymous — Thu, 06 Mar 2008 22:58:00 -0000

The statistical data for VIX mean reversion, based on distance from MA's or from the regression line you once presented.

Thanks for all your good work!

Re: http://vixandmore.blogspot.com/2008/03/next-up-vix-101.html

Bruce — Thu, 06 Mar 2008 16:58:00 -0000

In what way(s) has the VIX been firmly established to be better than the VXO (old VIX) as a predictor?

Re: http://vixandmore.blogspot.com/2008/03/next-up-vix-101.html

crucialtaunt — Thu, 06 Mar 2008 15:52:00 -0000

What do some of the VIX:XYZ ratios (suhc as VIX:SDS, VIX:VXV, SPX:VIX etc.) mean, and why they may be important?