|
PureBytes Links
Trading Reference Links
|
He regressed changes in the VIX and VXN and moves in both the OEX and NASDAQ
to look at if any meaningful correlation existed. He actually shared that
one of the things that drove him to do the work was all the "misuse" of
VIX/VXN that he sees in the press. He especially quoted the WSJ's almost
daily commentary on it. I was on the team at CBOE when we recruited him to
develop a volatility product and I recall one of his concerns was that it
would be misunderstood and misused.
He ran every regression I could think of ..... where there was some
information value was in the area of forecasting volatility. Short term
changes in volatility seemed to give some information value ... over the
very short term .. about the level of volatility. I'm going to play with
that for a while to see if there is a moneymaking opportunity there.
-----Original Message-----
From: CalaxCorp@xxxxxxx [mailto:CalaxCorp@xxxxxxx]
Sent: Sunday, February 03, 2002 11:22 PM
To: realtraders@xxxxxxxxxxxxxxx; ajacobson@xxxxxxxxxxxxxx
Subject: Re: [RT] VIX and VXN from their father
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
------------------------ Yahoo! Groups Sponsor ---------------------~-->
Get your FREE credit report with a FREE CreditCheck
Monitoring Service trial
http://us.click.yahoo.com/ACHqaB/bQ8CAA/ySSFAA/zMEolB/TM
---------------------------------------------------------------------~->
To unsubscribe from this group, send an email to:
realtraders-unsubscribe@xxxxxxxxxxxxxxx
Your use of Yahoo! Groups is subject to http://docs.yahoo.com/info/terms/
|