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VIX has behaved not in proportiona with SPX

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发表于 2011-10-19 08:17 PM | 显示全部楼层 |阅读模式


SPX has fallen just 1.2% so far this week but VIX up 22%. it happened several time this year as blue circle indicated.
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SPX may experience 2 weeks or so correction here or something big will happen ahead?

there were several cases that spx moved little but vix changed significantly:

2008 9/15 spx -0.99% while vix  up 25%.
9/15/2008        121.63        128        113.8        124.12        593329800        116.81        -0.99%        32.07        24.98%
9/8/2008        128.04        128.24        121.6        126.09        342707800        117.98                25.66       


2010 11/22 spx -1.25% while vix  up 23%
11/22/2010        119.69        120.24        117.99        118.8        154923400        116.48        -1.25%        22.22        23.17%
发表于 2011-10-19 08:33 PM | 显示全部楼层
回复 鲜花 鸡蛋

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发表于 2011-10-19 08:41 PM | 显示全部楼层
thanks
回复 鲜花 鸡蛋

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发表于 2011-10-19 08:58 PM | 显示全部楼层
Your data support very short-term up --- opposite from your prediction.
回复 鲜花 鸡蛋

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