BofA aggregates these volatility measures by first taking
z-scores of the individual measure and then taking an average of
the three series. The results are shown in the chart below. The
aggregate volatility measure is near its lowest level in twenty
years.
While the above stats are know from the VIX weekly chart that I
post, the 2nd image/stats is interesting however.
From 1993 - April 30th 2017 the VIX has been below 10 for 20
days or 0.33%
HOWEVER after April 2013 the VIX has been below 10 for 21 days
or 39%
that stat is nuts how before April 30th the VIX spent only 20
days below 10 in 6126 days but since May 1st only 53 days the VIX
has been below 10 for 21 days. What took 24 years has been
done in just over 2 months basically.
You know that a huge pick up in volatility is coming sooner or
later
Matt, when you have time, I suggest you read the article in this
link "Rambling Near the Edge", by Harley Bassman. He's a well
known strategist that worked at BofA/Merrill for many years and
recently moved to PIMCO.
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Interesting comments on the VIX from BofA
Posted by matt on 17th of Jul 2017 at 02:46 pm
BofA aggregates these volatility measures by first taking z-scores of the individual measure and then taking an average of the three series. The results are shown in the chart below. The aggregate volatility measure is near its lowest level in twenty years.
While the above stats are know from the VIX weekly chart that I post, the 2nd image/stats is interesting however.
From 1993 - April 30th 2017 the VIX has been below 10 for 20 days or 0.33%
HOWEVER after April 2013 the VIX has been below 10 for 21 days or 39%
that stat is nuts how
Posted by matt on 17th of Jul 2017 at 03:24 pm
that stat is nuts how before April 30th the VIX spent only 20 days below 10 in 6126 days but since May 1st only 53 days the VIX has been below 10 for 21 days. What took 24 years has been done in just over 2 months basically.
You know that a huge pick up in volatility is coming sooner or later
http://convexitymaven.com/newcommentary.html Matt, when you have time,
Posted by ruscitti on 17th of Jul 2017 at 03:38 pm
http://convexitymaven.com/newcommentary.html
Matt, when you have time, I suggest you read the article in this link "Rambling Near the Edge", by Harley Bassman. He's a well known strategist that worked at BofA/Merrill for many years and recently moved to PIMCO.