"Where is the VIX (VXX)," asks Robert Sinn, noting its low level now compared to duplicate...

This news story has 10 comments:

Register or Login to rate comments »

Hitesh Patel Comments (312)
 
No continued free money unless the vix gets to the 40's
5 Jun 2012, 10:51 AM Reply Like

vision3001 Comments (195)
 
Hopium on OT2 / QE3.
5 Jun 2012, 11:01 AM Reply Like

Third Eye Market Analyst Comments (99)
 
When you consider fear of the unknown, VIX seems low. When you consider probability analysis of VIX, historical volatility, GARCH models etc. VIX is appropriately valued to slightly overvalued.
5 Jun 2012, 11:06 AM Reply Like

cma Comments (162)
 
Steven, have you seen any probability analysis or GARCH analysis of the level of $VIX?
5 Jun 2012, 11:31 AM Reply Like

Third Eye Market Analyst Comments (99)
 
Yes, I posted probability analysis on my blog and analyzed VIX level using 4 different models. Also, V-Lab is an awesome site to get future realized volatility estimates.
5 Jun 2012, 11:34 AM Reply Like

Gtarras Comments (405)
 
I remember the times when VIX close to 30 was BAAADDD news.
5 Jun 2012, 11:46 AM Reply Like

losbronces Comments (387)
 
It still is.
5 Jun 2012, 04:27 PM Reply Like

PaulF57 Comments (2)
 
Steven.....what is V-Lab. I'm long the VXX and long calls and not familiar with the site.
5 Jun 2012, 12:53 PM Reply Like

Third Eye Market Analyst Comments (99)
 
http://bit.ly/KBNiCf They update future volatility estimate on 1000s of underlying instruments based on several GARCH-type models.
5 Jun 2012, 12:57 PM Reply Like

Third Eye Market Analyst Comments (99)
 
http://bit.ly/HcGUgY Here is link to my blog. I don't try to sell anything but post my analysis there. Also, you'd want to compare at-the-money implied volatility to V-Lab's GARCH model estimates and not the VIX. IV usually trades at a premium to realized vol.
5 Jun 2012, 01:05 PM Reply Like