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If you run a Peason Corelation on the Log changes of the OEX and Vix
daily close you will a product moment correlation coefficient of
-0.859301552284391
This looks meaningful to me.
--- In realtraders@xxxx, "Jacobson, Alex" <AJacobson@xxxx> wrote:
> 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@xxxx [mailto:CalaxCorp@x...]
> Sent: Sunday, February 03, 2002 11:22 PM
> To: realtraders@xxxx; ajacobson@xxxx
> 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@xxxx 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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