May

10

VIX closed at 40.9 Friday- doubling in 4 days to a 1-year high - after closing at a 1-year low less than a month ago on Apr 12.

Also interesting that despite relative calm Friday compared to the day before, Friday's VIX close was higher than Thursday's high (Yahoo data):

Date          Open      High    Low     Close
5/7/2010        32.8    42.2    31.7    41.0
5/6/2010        25.9    40.7    24.4    32.8
5/5/2010        26.0    27.2    23.8    24.9
5/4/2010        22.5    25.7    22.5    23.8
5/3/2010        22.4    22.4    19.6    20.2

Vince Fulco writes:

I've been thinking for some time, which solidified watching Thursday's action, that there could be parallels to mkt instability and earthquake prediction. Something along the Arias Intensity measure could be created with index members acting as observation stations. I'm doubtful the existing vol indices do the job:

The Arias Intensity (IA) is a measure of the strength of a ground motion.[1] It determines the intensity of shaking by measuring the acceleration of transient seismic waves. It has been found to be a fairly reliable parameter to describe earthquake shaking necessary to trigger landslides.[2] It was proposed by Chilean engineer Arturo Arias in 1970…

Barking up the wrong tree or some theoretical underpinnings?

Thanks…


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