Volatility

Discussion in 'Trading' started by duard, Apr 29, 2006.

  1. duard

    duard

    Vix
     
    #31     May 13, 2006
  2. duard

    duard

    Weekly S & P 500
     
    #32     May 13, 2006
  3. duard

    duard

    Implied Volatility and Future Portfolio Returns

    PRITHVIRAJ BANERJEE
    Florida State University - Department of Finance
    JAMES S. DORAN
    Florida State University - Department of Finance
    DAVID R. PETERSON
    Florida State University - Department of Finance April 12, 2006


    Abstract:
    Prior studies find that the CBOE Volatility Index (VIX) predicts returns on broad stock market indices. This is an important finding because it suggests implied volatilities measured by VIX are a risk factor affecting security returns or an indicator of market inefficiency. We extend prior work in three important ways. First, we examine portfolios sorted on book-to-market equity, size, and beta to see if VIX’s predictive ability is pervasive across different portfolios. Second, we include deviations of VIX from recent means in addition to VIX levels. Third, we control for the four Fama and French (1993) and Carhart (1997) factors MKT, SMB, HML, and UMD. We find that VIX-related variables have strong predictive ability, suggesting an important role for VIX in security returns.
     
    #33     May 13, 2006
  4. duard

    duard

    Today would be best described as the takedown turnaround. Gap low, cover and/or reverse at the big support number.

    Vix showed it quite clearly.....
     
    #34     May 15, 2006
  5. duard

    duard

    Market is indecisive as to whether this short term to intermediate term sell-off has more legs. Doubt much more movement today as we rotate around yesterday's close.


    Famous last words....
     
    #35     May 16, 2006
  6. acrary

    acrary

    Not likely. Volatility and trendiness are both below historical averages...making the ES/SP less tradeable.

    T = Trendiness
    V = Volatility

    Numbers across top = number of days examined.
     
    • sp.txt
      File size:
      3.2 KB
      Views:
      320
    #36     May 16, 2006
  7. duard

    duard

    Acrary,

    Thank you for the analysis. Seems as you say the numbers suggest reversion to the mean still reigns supreme. Last two stacked directional days the exception over the last 3 years not the rule I suppose.
     
    #37     May 16, 2006
  8. acrary

    acrary

    Just looks like all the moves are coming in bursts followed by large lull times. Even the Russell 2k is less tradeable (but better than the SP).
     
    • rl.txt
      File size:
      2.1 KB
      Views:
      229
    #38     May 16, 2006
  9. acrary

    acrary

    Of all the index markets to trade, the Nikkei is the most tradeable.
    The short term trendiness is the highest its been since 1998 and the volatility is lower.
     
    • nk.txt
      File size:
      2.1 KB
      Views:
      404
    #39     May 16, 2006
  10. duard

    duard

    Thanks again. If you were to trade the nikkei 225 which product would you recommend? ekd on cme?
     
    #40     May 16, 2006