check01 vix001 gammar0 the historical ratio of the two is 1.45 (

来源: marketreflections 于 2011-09-13 15:20:53 [] [博客] [旧帖] [给我悄悄话] 阅读数 : (1584 bytes)

http://vixandmore.blogspot.com/2010/05/vix-rule-of-16-and-realized-volatility.html

The VIX, Rule of 16 and Realized Volatility

 

Two days ago, in Rule of 16 and VIX of 40, I discussed the Rule of 16 in terms of translating the (annualized) VIX number into expectations for future daily realized volatility in the S&P 500 index.

That post drew several interesting comments, which unfortunately they now reside somewhere in Disqus limbo. In one of the comments, rafaminos offered the following thoughts:

It seems that VIX is on average higher that realized volatility (based on daily returns over 30 days). I also tried to shift VIX 30 days in advance and the conclusion is the same. Since the historical ratio of the two is 1.45 (VIX/realized volatility), should not we infer from this past relationship that the implied realized volatility is more like 30 (45/1.45), meaning a 2% change 1/3 of the time?

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• "Barclays Index Volatility Weekly " VIX at Biggest Discount to E -marketreflections- ♂ 给 marketreflections 发送悄悄话 marketreflections 的博客首页 (26686 bytes) () 09/13/2011 postreply 15:45:56

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• check01 vix001 gammar0 onlyvix.blogspot.com/ -marketreflections- ♂ 给 marketreflections 发送悄悄话 marketreflections 的博客首页 (131 bytes) () 09/13/2011 postreply 15:52:09

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