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


"Where is the VIX (VXX)," asks Robert Sinn, noting its low level now compared to duplicate crisis moments in 2010 and 2011. Is it because the current jittery state of markets has been so well-telegraphed? Or have markets just gotten so used to bailouts, they're pricing in a central bank floor.

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Comments (10)
  • Hitesh Patel
    , contributor
    Comments (314) | Send Message
     
    No continued free money unless the vix gets to the 40's
    5 Jun 2012, 10:51 AM Reply Like
  • vision3001
    , contributor
    Comments (211) | Send Message
     
    Hopium on OT2 / QE3.
    5 Jun 2012, 11:01 AM Reply Like
  • Third Eye Market Analyst
    , contributor
    Comments (116) | Send Message
     
    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
    , contributor
    Comments (309) | Send Message
     
    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
    , contributor
    Comments (116) | Send Message
     
    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
    , contributor
    Comments (424) | Send Message
     
    I remember the times when VIX close to 30 was BAAADDD news.
    5 Jun 2012, 11:46 AM Reply Like
  • losbronces
    , contributor
    Comments (1010) | Send Message
     
    It still is.
    5 Jun 2012, 04:27 PM Reply Like
  • PaulF57
    , contributor
    Comments (2) | Send Message
     
    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
    , contributor
    Comments (116) | Send Message
     
    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
    , contributor
    Comments (116) | Send Message
     
    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
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