Wednesday, July 29, 2009
revisiting skew and fear
There have been four other times during a bear market when we've seen a divergence like this, when the VIX is at a multi-month low, but the CSFB Fear Index is at a multi-month high. Over the next three months following those four instances, the S&P averaged -9.2%, and with a risk that averaged more than 6 times greater than the average reward.
today zero hedge updates that reading by running a comparison chart to the VIX.