Anyone that follows volatility closely knows that short term views on volatility are much more dynamic than longer term. For example, if the market is moving from a dip into a “V” style recovery the CBOE’s 9 day expectation of volatility VXST, will drop much more than the 30 day VIX. A chart showing volatility expectations vs time is called a volatility term structure. The …
The CBOE changed the way the VIX® was calculated on October 6th, 2014—asserting the change would provide a more accurate assessment of expected volatility. The new process does look better to me, but I’ve been surprised that the new VIX and the old VIX (listed as VIXMO) sometimes differ by as much as plus/minus 10 percent. Disagreements between the two indexes are not due to …
My 2015 year end prediction is based on the trend channel shown below, which has been in place since around May 2012. There’s nothing magical about this channel. The market will transition from it at some point, and I think it’s important to plan for that, but for the moment the channel is the trend. This sort of trend channel has characterized the last three …
Unless you have access to a Bloomberg terminal or something similar finding quotes and historical data for volatility indexes can be an adventure. Below I’ve assembled links to the online resources that I’ve been able to find. Links marked with a “$SFI” are historical data sets that I offer for sale—they don’t match the official indexes exactly, but they are very close. In many cases, …
The chart below graphically represents the calculation for the Cboe’s VIX® with near-real-time (20-minute delayed) data, The actual VIX is located on the black dotted line in the left-center of the graph. Click here for a larger snapshot for 12-Nov-2014. The VIX now uses interpolation between two VIX style calculations (VIN and VIF) on SPX options series that are a week apart—bracketing the 30-day target horizon …
