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Wednesday, July 29, 2009


revisiting skew and fear

early in july i cited jason goepfert and his analysis of the CSFB fear index. goepfert:

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.

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