Friday, October 10, 2008


Vertical moves in the VIX are "usually" (based on the relatively short history of the index, and minding the changes made to the composition of OTM options that comprise it) stamped out within 2 days of any 20% increase.

This chart looks like an advert for the market makers "look at how well it inversely correlates to market declines". Of course, making that conclusion by compiling option premia is dangerous...let's see how sustainable this is.

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