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Alex:
Could you please briefly describe the reason(s) Bob Whaley gave to arrive at his conclusion that VIX and VXN do not work well as forward price indicators?
Thank you in advance,
Bill
In a message dated 2/2/02 4:18:46 PM Pacific Standard Time, 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
International Securities Exchange
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