SPX vs VIX

jamesmith · 发表于 2012-8-14 03:35 PM

sycamores · 发表于 2012-8-14 03:40 PM

结论？

jamesmith · 发表于 2012-8-14 04:00 PM

本帖最后由 jamesmith 于 2012-8-14 04:05 PM 编辑

回复 sycamores 的帖子

Charts and indicators are for reference only...
VIX is pretty low, not a bad idea to get some protection or do some mentally preparation...
can VIX go lower?... it certainly could... -_-!

spx vs vix long term.JPG

silicon_beaver · 发表于 2012-8-14 06:23 PM

I did plot these two often and did calculate the statistics correlation.

But have to say, now it get less and less valid. A reason I didn't publish my statistics often, like previous.

jamesmith · 发表于 2012-8-15 11:09 AM

ReadOnly laoda, I didn't know VIX was modified. Can you tell me what modification it went through? thanks.

Read0nly · 发表于 2012-8-15 10:21 PM

jamesmith 发表于 2012-8-15 12:09 PM
ReadOnly laoda, I didn't know VIX was modified. Can you tell me what modification it went through? t ...

回版主，俺查了一圈也没找着俺那个说法的准确出处，CBOE对VIX的主要改变是2003年。看来是俺当时看了copperbull的贴子后又误读VIX历史后有点想当然了。掌嘴！

以俺个人的看法，VIX在股市衍生品基础上进一步衍生出的经验模型，不确定性因素在这个过程中被不断放大，所以只适合同近期的数据做比较。也就是说历史数据越久远，同现期的数据可比性越差。刚刚比较了一下SPX和VIX自1986年以来的月线图做个参考。

jamesmith · 发表于 2012-8-16 07:26 AM

回复 Read0nly 的帖子

I can be useful for options, giving a ballpark estimate of where implied volatility is for S&P 500 compared to index level :)

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[灌水] SPX vs VIX

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