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Strategies & Market Trends : Galapagos Islands -- Ignore unavailable to you. Want to Upgrade?

To: PuddleGlum who wrote (37064)	4/17/2003 1:00:57 PM
From: Lazarus_Long	Respond to of 57110

I can find a number of VIX highs and lows during that period that didn't coincide with market lows and highs (try 7/94, 4/95, 9/95, and 2/96 for the VIX lows, and 11/94, 6/95, 7/95, and 10/95 for the VIX highs). All within the first couple of years after the computation was available. I'll bet it took that long for traders to figure how to use options that resulted in their current behavour. You know that I invented Williams%R, don't you? NEXT TIME you get a good idea, don't forget us! :-)

To: PuddleGlum who wrote (37064)	4/18/2003 12:11:11 AM
From: Lazarus_Long	Read Replies (1) \| Respond to of 57110

Did some quicky calcs using Excel. From 1994 (when VIX became available) to now, the mean VIX was 23.64. The least squares fit slope was 0.008983. From 94-98, the mean VIX was 27.54. The least squares fit slope was 0.006176. From 98-now, the mean VIX was 17.6. The least squares fit slope was 0.018013. So there has been an increase in the average value of VIX (representing volatility) from its beginning until and an increase in the rate of increase of volatility.