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Strategies & Market Trends : Zeev's Turnips - No Politics
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To: Sully- who wrote (42722)3/21/2002 2:24:17 PM
From: Joe Smith  Read Replies (2) of 99280
 
Some thoughts about the VIX/VXN:
Why does it go up only on downturns if it is a measure of volatility. Why do upspikes in the market not raise the VIX if it is just a measure of complacency?

Is it not just a reactive measurement and therefore of little predictive value?

Does it not have to be read in relative terms?

It is interesting to note that it did revert to mean last Winter. When I thought the rally was going to pause in October, I did notice that the VIX was still in the high 30's and wondered if the rally had a way to go.

However, it has been acting weird lately. The VXN in particluar did not move at all during recent selloff from 1945 to 1825. Doesn't that seem problematic. It clearly did not repsond to a 6% move in the market. This makes me wonder if we are setting up for Zeev's rally and a breakdown in these "volatility measure" for the near future followed by a reversion to the mean with VIX topping out near 30 in a later sell-off.
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