Seeking Alpha

Smarty_Pants » Comments » BHI

  • Only Abatement of Risk Aversion Will Stop VIX from Further Fall - JP Morgan Strategist [View article]
    "At 90, the VIX implies an expected 25% change in stock prices in the next month, according to JP Morgan equity strategist Thomas J. Lee"

    Given that the DJIA has fallen nearly 25% in the past month, that's probably not such a big surprise.

    The VIX is calculated based on the option premiums of near the money calls and puts I believe. Given that volatility expectations are what drive the time-value portion of such options it would stand to reason that VIX levels would reflect the very recent moves of the underlying.

    You could probably estimate VIX very closely by computing the recent standard deviation of the underlying index and scaling it. I guess it's just easier to look at one number instead of doing the work yourself.
    Oct 28 15:28 pm |Rating: 0 0 |Link to Comment
More on BHI by Smarty_Pants
Comments by Ticker
AA, AAPL, ABK, ABT, ABX, ACGY, ACWI, ADE, ADM, ADP, ADRE, AEM, AGG, AGNC, AGQ, AGT, AHBIF.PK, AIG, AKS, AMAT, AMGN, AMSC, AMZN, ANF, APD, APOL, ATI, AU, AVMNF.PK, AVNX, AXP, BA, BAC, BBT, BBY, BCS, BDX, BGU, BGZ, BHI, BID, BIDU, BK, BMY, BNA, BND, BPT, BRID, BRK.A, BRK.B,
Smarty_Pants'
Comments Stats
1277 comments
Rating: 477 (1047 - 570 )