I have VIX data going back to 1986, and over that entire period of time, the average VIX reading was indeed around 17-18, based on calculating 50-month MAs ----- figures range from around 21 in 1989, down to 13 or so in 1996, and now are around 26. It is completely true, however, that since 1997, the VIX has only been below 20 on four major occasions, and not for very long. It is clear that volatility has greatly increased over the past 5-6 years, making that 17 figure not at all applicable to today's markets ---- even though it is the average VIX reading over the past 16 years. As points of reference ----- all-time VIX high 172 (the great crash of October, 1987), all-time low 8.86 in December, 1993. Since 1997, you could fairly say that readings of 25 or less are quite low, 20 or less very low, 35 or more quite high and 45 or more very high.
I guess if one looks at a much longer time frame and keeping in mind that 1999-2000 'bubble' is an anomaly-'a hundred year storm' if you will, then the VIX is indeed overvalued. I wouldn't personally sell it but if we are talking strictly numbers then he might be right.
Going long diapers was a joke referring to the times when people are scared to death and just tossing stocks out the window at any price. These are the times when the VIX will spike up as people pay higher premiums for protective puts.
Armaniman, just wondering how it is possible for you to have VIX data all the way back to 1986 when the CBOE introduced the index in 1993 (check out this web address to see what I mean: http://www.cboe.com/MktData/vix.asp#vix )
Babak ---- If you check that link, you will find below *click here for the most recent data*, a line reading *VIX Data Textfile for 1986-2001*. The CBOE's own statement in the paragraph above is either inaccurate or the equivalent of VIX data was maintained and collected by some other source. I simply downloaded all available VIX data from Historybank.com when I bought TradeStation 2000i, and that's how I have it.
VIX aside, does anyone track %of stocks over 200 Day MA? This seems to be getting very overbought in the near term. Also there have been some interesting developments with the A/D line which looks like its trying to break out of a downtrend that started back in 98. Back to work
doh! I should´ve seen that link ...which leaves a new question, how the heck did they extrapolate VIX data all the way back to 1986? unless they are wrong and it wasn´t introduced in 1993. I´ll e-mail them and see if they reply with an answer.
It is correct that the VIX was introduced in 1993, but we have "back-calculated" the index in the same way it is calculated now. Thank you. Genna Freeberg Internet Marketing Chicago Board Options Exchange trdrmac: I think TC2000 has all sorts of alternative indices including #stocks above or below their 200SMA for another take on the AD line read the recent CrossCurrents from HD Brous