Volatility Tracker: the Implosion in S&P 500 Volatility
Volatility Tracker for the week of August 10, 2009 Even as the S&P 500 pushed further into overbought territory last week [4] and the VIX Premium Ratio moderated back toward its normal range,[8] we saw an interesting development in the ratio of current realized to lagged implied volatility.[6] To review, that ratio plots the current 21-day realized S&P 500 volatility over the VIX reading from 30 calendar days ago. Essentially the ratio asks how well implied volatility estimates from one month…
Monday, August 10, 2009
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