Chart of the Week: Historical Volatility Plummets in Seasonal Swoon
‘Tis the season for the annual holiday effect in which historical volatility (HV) has a strong tendency to plunge and drag implied volatility down with it. This is a subject I have tackled on a number...
View ArticleVIX and the Week Before Christmas
I guess I should not be surprised that a VIX of 15.45 – the lowest since July 2007 – has all manner of pundits scrambling to pull some sort of explanation out of a hat and weave it into their favorite...
View ArticleS&P 500 Index 20-Day Historical Volatility Hits 39-Year Low
Since I haven’t seen it mentioned anywhere else, I thought I should note that 20-day historically volatility in the S&P 500 index hit its lowest level since April 1971, the same month that the...
View ArticleChart of the Week: the VIX Since 2007
The Year in VIX and Volatility was such a huge hit two weeks ago that I thought it would be appropriate to address all the angst about low readings in the VIX with a chart of the CBOE Volatility Index...
View ArticleVIX Term Structure Evolution Over Last Ten Days
If you think the last two weeks have turned the investing world upside down, well you have to look no farther than the VIX futures term structure to see just how accurate that view is. Two weeks ago...
View ArticleNew VIX Backwardation Record
This week marks the first time that the front two months of the VIX futures term structure have been in backwardation each day for more than three consecutive months. In fact, the current streak of 68...
View ArticleImplications of a Positively Correlated SPX and VIX
For those who missed today’s market action and just looked at the post-mortem reports, today probably looked like just another in a series of uneventful days. For those who were paying attention to the...
View ArticleHow Can the VIX Be 14 and Lower than VIN and VIF?
Many novice and advanced VIX followers are scratching their heads today, wondering why the VIX is down more than 5%, hovering around the 14.00 level, when the SPX is down 0.4% and all the major market...
View ArticleUnusual Twist in VIX Futures Term Structure as of Late
Even with the U.S. fiscal cliff grabbing all the headlines and keeping the VIX from dipping under 15, I still thought I might be able to trot out my annual series of posts on the holiday effect (or...
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