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- 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
- 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
Additional Resources
- Chart of the Week: Crude Oil and Volatility
- Bill Luby submits: While stocks have gyrated wildly during the course of the past year, fluctuations in the price of crude oil have been even more dramatic. Crude oil hit a high of 147.90 one year ago yesterday, on July 11, 2008, yet fell 76.2% to reach a low...
- External links 2009-07-13
- VIX and More Volatility Awards, 2008 Edition
- Bill Luby submits: I thought I’d spare everyone a silly sounding name like “the VIXies,” so without further ado, here are the highly subjective and not-otherwise-nicknamed VIX and More volatility awards for 2008:Best New Volatility Index:India VIXBest New Volatility Product:VIX Binary OptionsBest New Free Volatility Tool:International Securities Exchange’s Quotes/Volatility...
- External links 2009-01-01
- SPX Historical Volatility Lowest Since September
- Bill Luby submits: There are quite a few ways in which to measure historical volatility. Probably the most responsive of the time periods commonly measured is the 10 day historical volatility (HV) period, which covers the last 10 trading days. Variously referred to as statistical volatility, realized volatility, actual...
- External links 2008-12-26
- 2008: The Year in Global Volatility
- Bill Luby submits: In November I launched the VIX and More Global Volatility Index, which is a weighted average of the implied volatility in options for equities in the 15 largest global economies. I will have more to say about the Global Volatility Index in 2009, but want to...
- External links 2009-01-04
- Chart of the Week: Volatility Drifts Lower
- Bill Luby submits: While stocks gave back some gains this week and any sense of inevitability was stricken from the consciousness of the bulls, volatility only grudgingly began to reappear on the charts. In fact, if you look at the chart of the week below click to enlarge, you...
- External links 2009-01-11
- S&P 500 Index Sets New Volatility Record for Fourth Consecutive Day
- Bill Luby submits: When measuring volatility, there is a tendency to focus on historical volatility and implied volatility as the appropriate yardsticks. One looks backward and is a statistical calculation; the other looks forward and lets market participants estimate future volatility. The VIX gets the bulk of...
- External links 2008-10-02
- Finding a Bottom for the Volatility Measure
- Bill Luby submits: If an investor were to have a VIX-centric view of the universe, he or she might reasonably conclude that, as far as 2009 is concerned, volatility bottomed just before Thanksgiving, when the VIX made its intraday low for the year (20.05 on 11/25) or on the...
- External links 2009-12-10
- Chart of the Week: SPX Volatility on the Wane
- Bill Luby submits: In my chart of the week posts I have been striving for more of a generalist theme, with only occasional excursions into the land of volatility. I am making an exception this week, because for the first time in five months the historical volatility of the...
- External links 2009-02-15
- Recent Developments: Gold and Gold Volatility
- Bill Luby submits: With the price of gold topping $1000 per ounce yesterday for the first time since February, there has been a great deal of discussion about gold prices and the volatility of gold prices. While there is no disputing that gold prices are high...
- External links 2009-09-08
- A Home Grown Emerging Market Volatility Index
- Bill Luby submits: India has an India VIX, Germany has the VDAX, and some other countries largely in Europe have their own country volatility indices. Outside of North America and Europe, the volatility index pickings are slim, however, so when you want to get a sense of international volatility...
- External links 2008-09-11
- The VXV and Systemic Risk
- Bill Luby submits: In early October I set forth some of my ideas around how to think about volatility in A Conceptual Framework for Volatility Events. Today I want to briefly touch upon a topic that is tangential to that conceptual framework and closely linked to the VIX:VXV ratio...
- External links 2008-11-20
- Reflections on Current Volatility
- Bill Luby submits: Being a West Coast guy, I often find myself three hours behind the rest of the blogging world when I stumble out of bed. Once or twice a year, I manage to sleep through the open and generally spend the rest of the day playing catch-up,...
- External links 2009-07-15
- Overview: U.S. Volatility Indices
- Bill Luby submits: As a companion to yesterday’s The Evolution of the Volatility Index Family Tree post, I thought it might be helpful to include a comparative look at the major U.S. volatility indices, which is what the table below hopes to accomplish. The main distinguishing factor...
- External links 2008-08-05
- VIX: Holiday Lull in Volatility
- Bill Luby submits: The VIX has been steadily declining during the month of December, from the high 60s on the first day of the month to the neighborhood of 42 as I write this. Clearly the extraordinary measures taken by the government to pump liquidity into the...
- External links 2008-12-23
- The Volatility of Gold
- Bill Luby submits: I have been receiving quite a few questions about gold and gold volatility lately, so with gold receiving a lot of attention in the press, I thought this would be a good time to check in on the commodity and on the CBOE’s gold volatility index,...
- External links 2008-11-26
- Gold's Recent Volatility
- Bill Luby submits: I have been receiving quite a few questions about gold and gold volatility lately, so with gold receiving a lot of attention in the press, I thought this would be a good time to check in on the commodity and on the CBOE’s gold volatility index...
- External links 2008-11-26
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