Jump to content
House Price Crash Forum
The Masked Tulip

The Vix Index: March 2008 - May 2010

Recommended Posts

http://www.bbc.co.uk/blogs/newsnight/paulmason/

The VIX Index is the nearest thing we have to a global Geiger-counter of financial risk. This is how it's trending since the Eurozone crisis kicked off. I'll be blogging more on this and covering the slide on the financial markets later. For now I leave you with the following thought: the VIX is nowhere near the highs it reached after the TARP failed and global contagion took off. But it is higher than it was on the day Lehman collapsed.

VIX2-thumb-587x400.jpg

Share this post


Link to post
Share on other sites

oh dear oh dear. People are obviously seeing a real risk that they are willing to pay to protect themselves against. Only way to go from here in my opinion.

Share this post


Link to post
Share on other sites

oh dear oh dear. People are obviously seeing a real risk that they are willing to pay to protect themselves against. Only way to go from here in my opinion.

Following your logic, someone was desperate to buy downside protection on March 6th 2009 with the SPX at 666.

I'm guessing it wasn't Goldman Sachs............

Share this post


Link to post
Share on other sites

Nice graph.

Just be careful when comparing the VIX on an historical basis. At the time of Lehman's failure (mid Sept 2008), the S&P 500 was 15% higher than now, so all things being equal (and irrespective of ATM vols), we would expect the VIX to be lower at that time than it is now. Spot levels make a big difference in the calculation.

Note from the graph how implied volatility got crushed in the more orderly part of the sell-off (Jan-March 2009). If you believe in the plunge protection team, and that governments/CBs will do anything to prevent a disorderly equity selloff, being long equity vol at these elevated levels could turn out to be an extremely costly trade.

Edited by Toilet-Currency

Share this post


Link to post
Share on other sites

Paul Mason just showed this graph on Newsnight. Went through it a bit quickly so many viewers may well have said "what was that?"

Maybe they'll search for it on the 'net.

Share this post


Link to post
Share on other sites

Join the conversation

You can post now and register later. If you have an account, sign in now to post with your account.

Guest
Reply to this topic...

×   Pasted as rich text.   Paste as plain text instead

  Only 75 emoji are allowed.

×   Your link has been automatically embedded.   Display as a link instead

×   Your previous content has been restored.   Clear editor

×   You cannot paste images directly. Upload or insert images from URL.

Loading...

  • Recently Browsing   0 members

    No registered users viewing this page.

  • 259 Brexit, House prices and Summer 2020

    1. 1. Including the effects Brexit, where do you think average UK house prices will be relative to now in June 2020?


      • down 5% +
      • down 2.5%
      • Even
      • up 2.5%
      • up 5%



×
×
  • Create New...

Important Information

We have placed cookies on your device to help make this website better. You can adjust your cookie settings, otherwise we'll assume you're okay to continue.