4 replies to this topic

[danzman]

Here's a chart of the VIX and a chart of a weighted average daily range. I weighted the avg range towards more recent action since most people adopt a "what have you done for me lately" attitude when looking at things.

http://stockcharts.c...11884850,Y].gif



Basically, I'm showing that the main component of the VIX is volatility. When the VIX and the weighted volatility aren't tracking each other closely, there's either too much fear or optimism. A low VIX doesn't necessarily mean there's too much optimism -- it could be that volatility is just low.

There's a little disconnect between the movement of the VIX and volatility right now, but not much.

D

[Bob K]

Very good work....... You might find plotting the ave daily range for the spx along side to be interestng. And to make it more interesting plot (as a percentage) the daily change in spx as well. Or, I would be interested in getting your excel spreadsheet data as an alternate. Thanks Bob K

Edited by Bob K, 22 December 2004 - 11:33 PM.

[danzman]

OK, I've updated the chart to show VIX and the weighted avg daily % range together. Now here's SPX on top of that...notice that there are some big gaps sometimes between the VIX and avg % range....like in Feb-Mar, 2003...

http://stockcharts.c...41918623,Y].gif


I hope this helps people know what the VIX is really about. I don't think the SPX/VIX will stand the test of time.

D

[OEXCHAOS]

Post of the Week. Very nice. In a couple days, I'm moving this to the Investors University Board. This is what this site is all about. Thanks, Mark

[SideShowBob]

The following shows 30 day historical volatility compared with the SPX put+call index mean implied volatility:


http://www.ivolatili..._narrow&add=x:1

SSB