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- Rare Batman Pattern Forming in the VIX
- Bill Luby submits: Just as it seemed as if the end of the world was nearing, I am pleased to report a rare Batman pattern forming in the VIX and in the implied volatility of the SPX and SPY. The chart below shows the right...
- External links 2008-10-23
- Keep an Eye on Emerging Markets Bonds
- Bill Luby submits: I know a number of equities-only investors who have started following the bond markets for the first time ever over the course of the past year after becoming tired of being blind-sided by inter-market relationships. Of the many credit market data points, LIBOR, the TED spread,...
- External links 2008-11-02
- Why Should Anyone Care About Historical Volatility?
- Bill Luby submits: Two weeks ago in The VIX in the Context of Historical Volatility of the SPX, I used a chart to demonstrate how the VIX which is essentially the implied volatility of the SPX compares across various SPX historical volatility lookback time frames. Why should...
- External links 2008-11-03
- VIX Below 10 Day SMA
- Bill Luby submits: Rob Hanna at Quantifiable Edges had a study up yesterday with the title VXO Suggesting A Pullback Is Likely. In his previous Is A Low VIX A Short Trigger? Rob concluded, contrary to popular wisdom and quite correctly: “Owning the S&P 500 when the VIX...
- External links 2008-11-06
- VXV's First Birthday
- Bill Luby submits: One year ago the CBOE launched the VXV, which is a variant of the VIX that calculates implied volatility in SPX options over the course of the next 93 days instead of the 30 day time window used by the VIX. In December 2007,...
- External links 2008-11-13
- The VXV Is One Year Old
- Bill Luby submits: One year ago the CBOE launched the VXV, which is a variant of the VIX that calculates implied volatility in SPX options over the course of the next 93 days instead of the 30 day time window used by the VIX. In December 2007, with the...
- External links 2008-11-14
- Newly Introduced VIX and More Global Volatility Index
- Bill Luby submits: As representatives of the G20 assemble in Washington to discuss the state of the global economy, this seems like a good time to take the wraps off of the VIX and More Global Volatility Index. Without getting into all the details, the Global Volatility Index calculates...
- External links 2008-11-15
- S&P 500 Fifty Day Historical Volatility May Have Just Peaked
- Bill Luby submits: Something interesting happened yesterday that has happened very rarely over the past two months or so: 50 day historical volatility (HV) in the S&P 500 index dropped. While that fact in itself might not be worthy of a headline next to the latest installment of ‘Adventures...
- External links 2008-11-18
- XLF's 'Concrete Shoes'
- Bill Luby submits: Lately there have been quite a few days when it looks as if the market is wearing ‘concrete shoes’ and will never be able to keep its head above water. Time and time again the financials look like those concrete shoes: financials plunge; the market follows....
- External links 2008-11-19
Additional Resources
- XLF: Bullish and Bearish, Depending on Time Frame
- Bill Luby submits: Lately it seems as if the financial sector is the market. For this reason, I now watch the financial sector SPDR XLF and the KBW Bank Index BKX tick by tick, in addition to a handful of financial stocks that seem to be in the most...
- External links 2009-03-18
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