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Strategies & Market Trends : Value of Perfect Information
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From: Q811/22/2008 12:37:28 AM
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Something to consider:

The actual volatility for the S&P benchmark is expected to exceed 1929 levels, making the current market the highest sustained volatility environment in the benchmark's history, Goldman Sachs derivatives strategists said on Friday.

In a research note to clients, Goldman said S&P 500 three-month realized volatility, which measures pricing during the past three months, stood at 66 percent, surpassing levels in the 1987 stock market crash and the Depression and is only two points below the level reached during 1929.

The VIX has now closed above the historically extreme level of a 30 reading for 50 days in a row exceeding the 49-day streak set in 1998 as the longest period of extreme implied volatility in the history of the index, said Michael McCarty, chief strategist at broker-dealer Meridian Equity Partners in New York.
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