Vix Under 20.00

Has been a very good tool. However, it is over watched and over-played. I feel a top is at hand but my guess is the vix spikes down to the 10-12 area very similar to the spike above 50 at the last major bottom. We all know it's just too easy to now see the vix below 20, get short big, then go to the beach.:confused:
 
Quote from silk:

...A danger sign would be if the Vix began to break out of its current range. I.E. A move over 25. The day the VIX moves above 25 i will be crazy short the mkt.
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You may get a chance soon...

nitro
 
The real trick to using the VIX as a market timing indicator, I think, is to not look at absolute numbers or levels, but rather, their relationship to previous levels.
 
as far as i know the cme is calculating the average of two calls and puts nearest ATM for the next two expirations. the definition that i have states that it is a weighted average of these eight options. i could not get out information on this from the cme website (at least not by means of the search function - which i find rather strange), but if the weight is not the time until expiration than VIX is really flawed by varying time to decay.

makes it definitely more difficult to analyse and makes all the strategies larry williams is talking about (five day highs and lows) difficult to trust.

why don't they try to calculate constant time to maturity? anybody an idea? just liquidity?


peace
 
Quote from man:

as far as i know the cme is calculating the average of two calls and puts nearest ATM for the next two expirations. the definition that i have states that it is a weighted average of these eight options. i could not get out information on this from the cme website (at least not by means of the search function - which i find rather strange), but if the weight is not the time until expiration than VIX is really flawed by varying time to decay.

makes it definitely more difficult to analyse and makes all the strategies larry williams is talking about (five day highs and lows) difficult to trust.

why don't they try to calculate constant time to maturity? anybody an idea? just liquidity?


peace
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Try looking on cboe.com instead of CME.
 
thany resinate. on this url:

http://www.cboe.com/learncenter/workbench/volatility/intro.htm

they claim:

"... This index is calculated by taking a weighted average of the implied volatilities of eight OEX calls and puts. The chosen options have an average time to maturity of 30 days. Consequently, the VIX is intended to indicate the implied volatility of 30-day index options. ..."


so the VIX should have a constant time to maturity and no distortion by expiration days IMO.


peace
 
Your welcome.

What you say regarding expiration makes sense to me though nitro has posted learning otherwise at a recent lecture.
 
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