The figure shows the movement of VIX and the S&P 500 (adjusted for fluctuations of the USD) in recent weeks. The vertical yellow line is 17th of March. Click on the figure to see it more clearly. We see a sharp outburst of fear and then it rapidly subsided. I'm feeling fairly pleased with myself about an article that I wrote on 18th afternoon in Indian time (i.e. early morning of 18th in the US); a "long S&P + long dollar + short VIX" position from that date would have worked quite nicely. Also see the associated blog entry, and this synthesis of analysis of the disturbances of 2007 and 2008.
Using a dataset from 1/1990 till yesterday, the overall average value for VIX is 19.07. We are now at 18.21. So I guess we're pretty much back to the unconditional mean.
No comments:
Post a Comment
Please note: Comments are moderated. Only civilised conversation is permitted on this blog. Criticism is perfectly okay; uncivilised language is not. We delete any comment which is spam, has personal attacks against anyone, or uses foul language. We delete any comment which does not contribute to the intellectual discussion about the blog article in question.
LaTeX mathematics works. This means that if you want to say $10 you have to say \$10.