 VIX vs. Avg Range, See what the VIX is really made of... |
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 Dec 22 2004, 11:14 PM
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 Member Group: Traders-Talk ~ Posts: 908 Joined: 30-September 03 Member No.: 212  |
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.
[img]http://stockcharts.com/def/servlet/SharpChartv05.ServletDriver?chart=%24VIX%2Cuu%5Be%2Ca%5Dwaclnyay%5Bd19930621%2C20041222%5D%5Bpb50%21b200%5D%5Bvc60%5D%5Bi%5D%5BJ11884850%2CY%5D.gif[/img]  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 -------------------- I don't make predictions, I just react.
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Dec 22 2004, 11:33 PM
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#2
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Member Group: Traders-Talk User Posts: 801 Joined: 22-August 03 Member No.: 14 |
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 This post has been edited by Bob K: Dec 22 2004, 11:33 PM |
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Dec 23 2004, 01:43 AM
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#3
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Member Group: Traders-Talk ~ Posts: 908 Joined: 30-September 03 Member No.: 212 |
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...
[img]http://stockcharts.com/def/servlet/SharpChartv05.ServletDriver?chart=%24SPX%2Cuu%5Be%2Ca%5Ddaclyyay%5Bd19930621%2C20041222%5D%5Bpb50%21b200%21f%5D%5Bvc60%5D%5Bi%5D%5BJ41918623%2CY%5D.gif[/img] 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 -------------------- I don't make predictions, I just react.
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Dec 23 2004, 10:35 AM
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#4
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 Mark S. Young Group: Admin Posts: 13957 Joined: 20-August 03 From: CVG Member No.: 3 |
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 -------------------- |
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Dec 23 2004, 04:48 PM
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#5
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 Member  Group: TT Member* Posts: 1836 Joined: 9-September 03 Member No.: 32 |
The following shows 30 day historical volatility compared with the SPX put+call index mean implied volatility:
http://www.ivolatility.com/nchart.j?charts..._narrow&add=x:1 SSB |
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Lo-Fi Version | Time is now: 3rd September 2010 - 12:05 AM |