Friday, June 19, 2009
seasonality of volatility
we're in the well, so to speak.
UPDATE: via zero hedge -- i track this volatility curve in this link at the top of this page. this was one of the warnings of august 2008 that amounted to a prelude to disaster.
at least in the recent past, when the cash VIX has approached 80% of its forward futures, a turn down has been in the cards.
hoo boy, and did it ever. while there needn't be a monster collapse ahead and in fact the forward spread could widen still more, this degree of divergence has preceded several moves in excess of (-10%) in the S&P.
current snapshot at left. moreover, the volatility screen i mentioned in that august 2008 post also gave warning on the VXN in late may (may 27 to be exact) and on both may 22 and june 15 on the VIX.