VIX vs. Historical Volatility Divergence

Asia closed mixed ( Nikkei up, Hang Seng down, Shanghai Composite down) Europe is trading positive 1% on average. Nothing special in the news today.

Everybody will be waiting for the FOMC policy meeting decision later today and then analyze every word in the statement. I would put my money on “nothing changes”.

Belisarius is puzzled with large VIX vs. historical volatility divergence (despite some large VIX bearish bets. The VIX is at 21.5, HV at 13. At the moment we could say that options are overpriced having in mind the HV. With earnings season month away I would expect VIX to be better proxy for future volatility.

Chart 1. S&P 500 & Historical Volatility

Source: Thinkorswim from TD Ameritrade

Source: Thinkorswim from TD Ameritrade

Chart 2. VIX

Source: Thinkorswim from TD Ameritrade

Source: Thinkorswim from TD Ameritrade

This entry was posted on Wednesday, December 16th, 2009 at 7:45 am and is filed under Markets. You can follow any responses to this entry through the RSS 2.0 feed. Both comments and pings are currently closed.

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