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VIX vs. Avg Range


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#1 danzman

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Posted 22 December 2004 - 11:14 PM

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

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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.

#2 Bob K

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Posted 22 December 2004 - 11:33 PM

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.


#3 danzman

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Posted 23 December 2004 - 01:43 AM

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
Posted Image

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.

#4 OEXCHAOS

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Posted 23 December 2004 - 10:35 AM

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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#5 SideShowBob

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Posted 23 December 2004 - 04:48 PM

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