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标题: [转贴] Putting the VIX in context [打印本页]

作者: aimei 时间: 2012-8-21 05:37 标题: Putting the VIX in context

本帖最后由 aimei 于 2012-8-21 05:59 编辑

Putting the VIX in context

iPath S&P 500 VIX ST Futures ETN
RELATED QUOTES
Symbol Price Change
VXX 11.20

The volatility index rose yesterday but closed off the highs, while futures were mixed.

The VIX was up 0.57 or 4.24 percent to 14.02, amid a slight decline by the S&P 500. The weekend effect contributed to the rise as SPX options were repriced following two days without trading.

While many have commented on the low VIX, it must be viewed in comparison with real movements in share prices. Historical volatility has averaged a record low of 3.95 percent over the last 10 days. In that context, the VIX isn't low at all, but stands at a whopping 250 percent premium to the actual short-term vol.

The August VIX futures, with only one trading day until expiration, fell or 3 percent to 14.65 and closed much of the gap to the spot VIX. The soon to be front-month September VIX futures rose 0.05 to 18.25 -- a very large premium relative to the spot VIX. It is interesting to note that while option volumes have been light, and VIX futures volume is down slightly, open interest on the futures established three successive records at the end of last week.

More than 351,000 VIX options traded on Monday, with calls just slightly outpacing puts. The iPath S&P 500 VIX short-term futures note (VXX) saw volume of 176,000 contracts, evenly split between calls and puts.

作者: aimei 时间: 2012-8-21 06:05

本帖最后由 aimei 于 2012-8-21 06:08 编辑

是不是VIX不会马上反弹吧

作者: cellphone 时间: 2012-8-21 08:19

跟其他指标一样，vix被用多了也会钝化。指标是滞后价格的，

但有一点，指标的位置预示价格是在相对高位还是低位这个不会错。同样，如果没有其他的数浪方法能够说服，俺认为现在是自去年10月开始的第（5）浪的尾声。随时会展开有巨大深度的下跌A-B-C。

作者: kami2008 时间: 2012-8-21 09:21

跟其他指标一样，vix被用多了也会钝化。指标是滞后价格的，

但有一点，指标的位置预示价格是在相对高位还 ...
cellphone 发表于 2012-8-21 08:19

赞一个

作者: sniffer 时间: 2012-8-21 09:28

跟其他指标一样，vix被用多了也会钝化。指标是滞后价格的，

但有一点，指标的位置预示价格是在相对高位还 ...
cellphone 发表于 2012-8-21 08:19

大师高明，不过湾里资深的老秋认为要去1600，现在买入还是好时机。震天大师看法和您相近

作者: aimei 时间: 2012-8-21 11:58

回复 3# cellphone
ding ding

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