Disqus - Latest Comments for VIXandMore

Re: VIX ETPs – What Can Go Wrong?

Bill Luby — Tue, 05 Apr 2022 19:47:47 -0000

Thanks, Mike. It's good to be back!

Re: Remembering Haridimos Hatzidakis

Bill Luby — Fri, 25 Aug 2017 13:19:43 -0000

Very sad to hear. My wife and I visited the winery in May and were absolutely blown away by the quality of the full range of wines. The hospitality was also top notch, in an informal, quite personal sort of way. The winery is currently in the process of renovating and extending the facilities, but it did have more of the feel of a chemistry lab than that of a world-class winery showpiece. We were only briefly introduced to to Haridimos and I came away thinking he was full of vitality and had an intense passion for his work. We tasted at quite a few excellent wineries across Greece and Hatzidakis was by far our favorite.

Re: Ten Years Since the Biggest VIX Spike Ever

Bill Luby — Tue, 28 Feb 2017 01:51:21 -0000

Thanks for the heads up, Jesus. The graph should be visible now.

-Bill

Re: Largest SPX Pullback of 2014 Hits 6.4%

Bill Luby — Wed, 15 Oct 2014 22:40:44 -0000

Kudos. Nice work, as always, Mr. Pietsch.

-Bill

Re: Song for My Father*

Bill Luby — Wed, 15 Oct 2014 15:13:16 -0000

OP,

Thanks for sharing your thoughts. It is too easy to take family for granted, even for just a short stretch. I am an only child, but when I was in Connecticut, I was surrounded by cousins and came away thinking that my family had actually expanded, not shrunk in number. Thanks to all who have helped out during this period.

-Bill

Re: Song for My Father*

Bill Luby — Wed, 15 Oct 2014 15:10:37 -0000

Thanks, Jon. It is good to be back. I'm sure it is just a coincidence that volatility is jumping as I return...

-Bill

Re: Song for My Father*

Bill Luby — Wed, 15 Oct 2014 15:09:53 -0000

Thanks, Tom. Some things cannot be stressed too much.

-Bill

Re: Song for My Father*

Bill Luby — Wed, 15 Oct 2014 15:09:16 -0000

Thanks, Douglas. What I didn't mention about that night was that a big front blew in while I was sleeping and when I work up the next morning (oblivious to the big change in the weather,) the heat and fog was gone, the boat had turned around 180 degrees, the wind was blowing from a different direction, the sky was suddenly blue and it seemed as if it was a whole new world...and perhaps it was.

Cheers,

-Bill

Re: Song for My Father*

Bill Luby — Wed, 15 Oct 2014 15:06:23 -0000

Cynthia,

Thanks for checking in. One of the hidden linings of having a family member pass is that you hear from long lost friends and family -- and seeing your name here certainly put a big smile on my face. I am sorry to hear about your father, but am glad that like me, you can reflect upon some of the skills and tools that have been passed on to make things a little easier as you make your own way.

Cheers,

-Bill

Re: Song for My Father*

Bill Luby — Wed, 15 Oct 2014 15:03:48 -0000

Thanks, Raphael. I very much appreciate the sentiment.

-Bill

Re: Song for My Father*

Bill Luby — Wed, 15 Oct 2014 15:03:24 -0000

Thanks, Alex. I took me a long time to find the right time and to be able to articulate what I wanted to say, but I am glad the picture I painted was one that reached you.

-Bill

Re: Song for My Father*

Bill Luby — Wed, 15 Oct 2014 15:01:53 -0000

Vance,

I am sorry to hear about your father. Those father-son relationships are tricky and one way or another they leave a mark on us, often larger than we realize.

-Bill

Re: Song for My Father*

Bill Luby — Wed, 15 Oct 2014 15:00:51 -0000

Thanks Guarav, I appreciate the kind words. It is good to be back.

-Bill

Re: Largest SPX Pullback of 2014 Hits 6.4%

Bill Luby — Wed, 15 Oct 2014 14:59:44 -0000

For the record, taking today's price action into account, the current SPX pullback is now 9.8%, which makes it fourth largest in percentage terms since the March 2009 bottom.

Re: Largest SPX Pullback of 2014 Hits 6.4%

Bill Luby — Wed, 15 Oct 2014 14:51:26 -0000

Jeff,

You have a standing authorization to do this any time you want. Of course the current pullback looks a lot different. Check your email for an update.

-Bill

Re: The Evolution of the Holiday Effect in VIX Futures

Bill Luby — Thu, 21 Nov 2013 02:02:39 -0000

Hi Mobutu,

Expiring Monthly shut down earlier this year after a three-year run. I will periodically post some of my feature articles in this space.

Cheers,

-Bill

Re: Declaring Email Bankruptcy

Bill Luby — Wed, 09 Oct 2013 19:31:50 -0000

Another one of your classics, Leigh! I have had similar thoughts, but have not assembled them as eloquently as this.

No need to take the time to reply...

Re: VIX Futures Margin Requirements to Increase After Today’s Close

Bill Luby — Thu, 27 Jun 2013 15:28:36 -0000

I would not read too much into my positions, as some are with options with very different time frames and some are with the underlying. My net directional exposure is not too far from flat.

All things considered, however, if the VIX futures market functions at less than 100% tomorrow, long volatility is more likely to benefit than the inverse ETPs, IMO.

The safest trade is to just be a spectator here.

Cheers,

-Bill

Re: Lowest VIX Close Since Day Before Biggest VIX Spike Ever

Bill Luby — Sat, 20 Apr 2013 20:24:04 -0000

Hi Venu,

My apologies for the delay in responding, but the short answer is that the VIX is not adjusted for inflation. The VIX does not measure the absolute value of changes; instead it measures one standard deviation of expected future volatility and does so in percentage terms...so a VIX of 20 means that the markets expect the SPX to be within 20% of its current value in one year about 68% of the time.

This might help: http://vixandmore.blogspot....

-Bill

Re: Some Thoughts on the CBOE RMC

Bill Luby — Thu, 28 Mar 2013 16:29:18 -0000

Since you asked your question, it looks as if the CBOE has updated their web site with the new information.

Try: http://www.cboermceurope.com/

-Bill

Re: Lowest VIX Close Since Day Before Biggest VIX Spike Ever

Bill Luby — Thu, 28 Mar 2013 16:27:07 -0000

You make a number of points that I would agree with. I have tried to put some of my thinking about VIX cycles into a series of posts with the "VIX macro cycles" label: http://vixandmore.blogspot....

Given the recent entry into a low volatility regime, I think it is time to update those charts.

-Bill

Re: Lowest VIX Close Since Day Before Biggest VIX Spike Ever

Bill Luby — Thu, 28 Mar 2013 16:23:24 -0000

Lee,

VIX spikes are strange animals and come in several different flavors. Some are one-leg spikes that last a day or two or three. Some have a second leg. Others -- and these are more rare -- are the result of a gradual lifting of volatility. A lot depends upon what the fundamental factors are that are driving an increased perception of risk/uncertainty.

-Bill

Re: Lowest VIX Close Since Day Before Biggest VIX Spike Ever

Bill Luby — Thu, 28 Mar 2013 16:20:20 -0000

Thanks for the heads up. A great title and a solid start to what I think may be the most under-served portion of the investment blogosphere. Where are all the great futures blogs?

-Bill

Re: The Low Volatility Story in Pictures

Bill Luby — Thu, 28 Mar 2013 16:19:01 -0000

I think you make an excellent point, Dan. With bonds yielding 2-3x what they are right now I think the demand for low vol and high yield stocks would take a hit.

In terms of theoretical underpinnings, the demand for higher risk equities has distorted the efficient frontier -- which was never that efficient to begin with.

-Bill

Re: The Low Volatility Story in Pictures

Bill Luby — Thu, 28 Mar 2013 16:16:17 -0000

Thanks for the comment, Michael. SPHB does not have any options, so there is no way to calculate IV. As far as SPLV is concerned, IV has generally overestimated future (and current) HV.

-Bill