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I have been using the vix as a timing tool for years
and you just have to intrepid it correctly
looks like Ron agrees
nice evening
Ben
----- Original Message -----
From: "Ronald McEwan" <rmac@xxxxxxxx>
To: <realtraders@xxxxxxxxxxxxxxx>
Sent: Saturday, February 02, 2002 9:33 PM
Subject: Re: [RT] VIX and VXN from their father
> This is very interesting. I have been using the VIX ( and the VXN ) as
> inputs to a Montecarlo Simulation model I develeoped to predict the
> approximate price ranges for the Oex and Ndx. I never realized that this
> could not be done ?
>
> Ron McEwan
>
> On Sat, 2 Feb 2002 19:13:31 -0500 "Jacobson, Alex"
> <AJacobson@xxxxxxxxxxxxxx> writes:
> > I was at the annual CBOE/CBOT/CME Risk Management Conference this
> > week. On
> > Friday Bob Whaley of Fuqua .. the fellow who created VIX and VXN for
> > the
> > CBOE did a piece analyzing volatility indexes. He, in effect, did
> > an
> > analysis of the predictive value of market vol. indexes as
> > predictive tools
> > ... both short term and long term. I'll simplify his conclusions.
> > It
> > doesn't work as forward price indicator. I don't know if the CBOE
> > will or
> > won't post his study on their Website. The CBOE never proposed the
> > index as
> > a predictive tool of direction ... it was offered as a gauge of
> > subsequent
> > market return volatility.
> >
> > One really interesting analysis he did was on the spread of VXN over
> > VIX as
> > measure of concern over tech.
> >
> > Alex Jacobson
> > Vice President
> > Business Development
> > International Securities Exchange
> > (212)897 8125
> > (877)720 9918(SKYPAGE)
> > ajacobson@xxxxxxxxxxxxxx
> >
> >
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