|
PureBytes Links
Trading Reference Links
|
The VIX (like many other indicators) seems to be very good at telling us
what is going on in the markets, and at other times it seems to be a bit
off base. I wanted to find out if this could be measured. This is what I
came up. I ran a 20 day correlation on the OEX versus the VIX and the
number was consistently above .5 (over the last two years of data it is
over .8), however there were times when it dropped below .5 (possibly
indicating the so called "unlinking" effect). In the attached chart I
plotted the VIX as an inverted number divided by 10 (for visual and
scaling purposes). I added a plot of the continuous 20 day correlation.
The recent 20 day correlation figure is above .9, so it is really worth
paying attention to the VIX now.
Ron McEwan
Attachment Converted: "c:\eudora\attach\Vix_Correl.gif"
|