Wednesday, May 07, 2008

Confidence is back

The figure shows the movement of VIX and the S&P 500 (adjusted for fluctuations of the USD) in recent weeks. The vertical yellow line is 17th of March. Click on the figure to see it more clearly. We see a sharp outburst of fear and then it rapidly subsided. I'm feeling fairly pleased with myself about an article that I wrote on 18th afternoon in Indian time (i.e. early morning of 18th in the US); a "long S&P + long dollar + short VIX" position from that date would have worked quite nicely. Also see the associated blog entry, and this synthesis of analysis of the disturbances of 2007 and 2008.

Using a dataset from 1/1990 till yesterday, the overall average value for VIX is 19.07. We are now at 18.21. So I guess we're pretty much back to the unconditional mean.

No comments:

Post a Comment

Please note: Comments are moderated. Only civilised conversation is permitted on this blog. Criticising me is perfectly okay; uncivilised language is not. I delete any comment which is spam, has personal attacks against anyone, or uses foul language. I delete any comment which does not contribute to the intellectual discussion about the blog article in question.

Please note: LaTeX mathematics works. This means that if you want to say $10 you have to say \$10.