Impromptu VIX Talk

vix706 Impromptu VIX Talk

I’d say 98% of my IM conversations involve either “quick, turn on bberg now while she’s still on” or Jerry Manuels’ bullpen usage. So just had one of those rare IM interchanges that actually had relevance to an options site. Had this conversation with Bill Luby of VIX and More. I asked Bill if he still had a link to a formula to calculate HV  (Bill posted on it here.). It devolved from there into this exchange about the sluggish VIX.

 

 Bill: ….getting a bunch of questions on why the VIX is so low. like you, my answer is 1) HV/RV and 2) holiday effect
  fri + today should be perfect example
 me: yeah, but ironically would have been easier to demonstrate if market was down and VIX exploded
 Bill: y
 me: now they’ll all say VIX “predicted” the rally
 Bill: smile Impromptu VIX Talk
 me: i think it’s just that simple, vol. in market pretty low now
 Bill: 10-day HV is lowest since flash crash
 me: y, it was like the inverse of one of those grind up markets wehre you rally 12 straight days then realize you’re up like 4% total
 Bill: bingo…….
(we then come to the realization that “hey, we should actually post this)….

 Bill: and I’ll post about how you can see the “real market panic” in treasury yields, with a link to why the VIX missed out on this at your site me: reminds me, I told someone I’d look at TLT vol. and write it up and never did

OK, in all fairness, it was a long holiday weekend, will post TLT tomorrow.

This was all pre-open. VXX down 7.17% as I type. That implies that if we had no holiday effect here, VIX would be down something like 15% today.


The information in this blog post represents my own opinions and does not contain a recommendation for any particular security or investment. I or my affiliates may hold positions or other interests in securities mentioned in the Blog, please see my Disclaimer page for my full disclaimer.

You might be interested in:
blog comments powered by Disqus

In partnership with CNN Money Part of the CNN Network