Submitted by Tyler Durden on 08/14/2012 13:48 -0400
High Yield
Volatility
VIX has only rarely traded below 15% during 'new normal' times. The period from 2004 to early 2007, the so-called 'Great Moderation', saw VIX average 13.6% - at the time stunningly low (and notably where VIX closed yesterday). While looking at VIX alone can be misleading (with regard to the term structure differences and realized vol premia), it is nevertheless a gauge of market's expectations of return volatility in the short-term - however contemporaneous that is. Following the two times that VIX first closed below 15%, the S&P 500 has suffered from a 5.25% and 7.75% plunge in the following two months - and each time saw a quick post-VIX-plunge pop in stocks that provided better entry levels for shorts. High Yield credit also stumbled hard widening 80 and 150bps respectively.
Longer-term VIX has only rarely traded at these levels...
more,,,,,,,,,,,,,,,,,,,,
http://www.zerohedge.com/news/what-happened-last-two-times-vix-closed-below-15
I have thought for a while this same thing........
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Tue, 08/14/2012 - 14:13 | 2704451 vast-dom
vast-dom's picture
charts are essentially meaningless today. why? QE, ZIRP, shadow QE, shadow books, algos, you $ucking name it! if we were to study charts we'd be at SP below 800 last year! It's ALL $ucked!
B-rock
B-rock's picture
No, charts are totally relevant intraday... Technicals are exactly what algos trade on... Day-trading these days is amazingly easy... Just follow a 5 minute ES chart and use a shorter timeframe chart for entries. Piece. Of. Cake. Follow the Robot.
Realist - Everybody in America is soft, and hates conflict. The cure for this, both in politics and social life, is the same -- hardihood. Give them raw truth.
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