Comments on: The VIX isn’t Magical http://marketsci.wordpress.com/2008/07/24/the-vix-isn%e2%80%99t-magical/ a repository for my research on wrangling these unruly markets Sat, 05 Dec 2009 02:08:44 +0000 http://wordpress.com/ hourly 1 By: marketsci http://marketsci.wordpress.com/2008/07/24/the-vix-isn%e2%80%99t-magical/#comment-20 marketsci Fri, 25 Jul 2008 18:14:34 +0000 http://marketsci.wordpress.com/?p=138#comment-20 I'm using the index data, not the futures data. I couldn't agree more with your last paragraph. The underlying index is very predictable. I'll get a post on that shortly (a golden oldie that use to live on the MarketSci.com site). Even though it can't be traded directly, it can be used as a good input for trading the market (because it is so predictable). You hit the nail on the head though, that also as a result of that predictability, the futures contract trades wildly differently. Heck, if it didn't we could just print money trading it. I haven't done very much work on trading the futures directly...possibly a topic for a future post? Thanks for the comment and for visiting! ms I’m using the index data, not the futures data.

I couldn’t agree more with your last paragraph. The underlying index is very predictable. I’ll get a post on that shortly (a golden oldie that use to live on the MarketSci.com site). Even though it can’t be traded directly, it can be used as a good input for trading the market (because it is so predictable).

You hit the nail on the head though, that also as a result of that predictability, the futures contract trades wildly differently. Heck, if it didn’t we could just print money trading it. I haven’t done very much work on trading the futures directly…possibly a topic for a future post?

Thanks for the comment and for visiting!

ms

]]> By: tranquil trader http://marketsci.wordpress.com/2008/07/24/the-vix-isn%e2%80%99t-magical/#comment-19 tranquil trader Fri, 25 Jul 2008 16:52:53 +0000 http://marketsci.wordpress.com/?p=138#comment-19 hi, just found your site recently. Some great analysis!! I have been doing some work on the VIX too as a predictor of short run S&P returns. Your analysis on VIX movement vs S&P movement is very much in agreement with what i have found, although the edge is too thin to trade on. Just to clarify, was it the actual reported VIX that you are using in your analysis? or was it the futures data? As i have found out, thee is a BIG diference between the two. actual VIX has a definite mean reversion properties to it and does depend heavily on recent market volatility. whereas the futures data (seems to be less dependent on it) Keep posting! hi, just found your site recently. Some great analysis!!
I have been doing some work on the VIX too as a predictor of short run S&P returns.
Your analysis on VIX movement vs S&P movement is very much in agreement with what i have found, although the edge is too thin to trade on.

Just to clarify, was it the actual reported VIX that you are using in your analysis? or was it the futures data?

As i have found out, thee is a BIG diference between the two. actual VIX has a definite mean reversion properties to it and does depend heavily on recent market volatility. whereas the futures data (seems to be less dependent on it)

Keep posting!

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