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发表于 2009-8-14 12:36 PM
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VIX and volatility data point to continued downside
August 14, 2009 Fri 10:29 AM CT
Volatility data has been pointing to a pullback for a while, and it may finally be here.
The VIX is up 4.5 percent to 25.84. The first point is that this brings the spot value in line again with the front-month August futures. With the 20-day historical volatility of the S&P 500 Index at fresh 52-week lows of 13.6 percent, it also means that the implied volatility of the SPX options (aka, the VIX) is almost double the corresponding historical volatility -- something I don’t recall ever seeing before.
This is where the moniker "fear index" means something: This relationship between the VIX and the realized volatility of the SPX indicates that institutional option traders are willing to pay considerably more for SPX puts as protection then is justified by the actual volatility.
The rest of the VIX futures retain their substantial premiums, with September trading at 28.45 and October up at 29.7. This means that traders are pricing in even higher volatility moving forward. The VXX, the short-term VIX futures ETN, is up 3 percent to 59 after hitting an all new low in trading yesterday. The VXZ, a medium-term VIX futures ETN, is up 1 percent to 85 even, and has held higher levels, with its low back on July 23.
The realized volatility of the spot VIX itself is also hovering just above the lows, with the 20-day reading at 42 percent.
Volatility is mean reverting, and when we hit lows in the volatility numbers, I get nervous. I don’t like to look at volatility data in isolation, as others often focus on just one aspect, like the high premium in the September futures. But all of this analysis, when taken together has made me bearish for weeks -- and earned me a ribbing from some quarters -- but still I don’t believe that today’s pullback is an isolated event. |
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