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For the curious, here is how the bands performed on October 27, 28, 29.
Note how they exceeded the -1 and -2 std dev in the real panic on the way
down and how afterwards there was a mean reversion to the yellow center
line. That is the case from day to day. The yellow line is analogous to
the mean in a bell shaped or lognormal distribution curve. The really
novel thing about these bands is that only one day of Vix and Oex data is
needed to determine the next days probability distribution. Each day is a
new day with a new VIX implying what the next day has instore. Now,
whether this has any value in realtime trading or not remains to be seen.
Thanks for lending an ear,
BobR
Attachment Converted: "c:\eudora\attach\VPbnds1028.gif"
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