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por Camisa Roxa » 10/2/2003 11:14

Price Headley's Big Trend Watch

Following last Friday's TrendWatch (Watch the Weekly VIX), we got a lot of questions
about why we use the VIX over the VXN. Today we'll compare the VIX and the VXN, but
first let's explain exactly what the VIX and VXN are.

The VIX is the Volatility Index of the S&P 100, while the VXN is the Volatility Index
for the Nasdaq 100. The Chicago Board of Options Exchange created these two indices
to help investors measure what sort of activity was going on in the options market,
but the intent is to gauge investor's market outlook. The VIX and VXN are just
measures of the price of put options (bearish) relative to the price of call options
(bullish). When people are pessimistic about the market, the demand for put options
goes up, so the price of puts goes up. As a result, the VIX and VXN rise. The inverse
is true when people are bullish - the two indices go down. As you can tell, it's a
pretty simple way to measure investor opinion.

As contrarians, our interpretation is what you may expect it to be: when people are
most bearish, we get bullish. And when people are most bullish, we gear up for a
downturn. To really gauge how bearish or bullish people are we look for spikes or
long tails on the VXN and VIX charts. The chart below will show how market reversals
usually occur when the VIX and VXN get to extreme ranges.

The VIX and VXN can both indicate these extremes, but the VIX has an advantage over
the VXN is some respects. Ironically, the VIX (the S&P 100 Volatility Index) is more
volatile than the tech-heavy VXN (the Nasdaq 100 Volatility Index). You would
intuitively think that tech-related indices would be the most erratic, but the VIX
actually gives you the very obvious spikes and lows. To spot the extreme levels of
pessimism or optimism, you really need the volatility index to change quickly.

Perhaps part of the reason the VIX is more erratic is the nature of the Nasdaq. The
Nasdaq 100 is loaded with tech stocks, which many people speculate with. When the
market is that liquid and turns that quickly, the auction process is very smooth, and
spreads are minimal.

The VXN has merit all the same, but the VIX seems to be more useful as an indicator.
To spot when the VIX or the VXN have "spiked", you would want to see a weekly close
below the low of the previous week. Last week's VXN low was 43.39 and the VIX low was
34.75. We'll probably not close under those levels this week, so we'll look for that
same pattern next week using this week's lows of 45.85 and 33.85, respectively.
012303dtwgraph.gif (17.47 KiB) Visualizado 10501 vezes
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por Pata-Hari » 10/2/2003 11:32

Camisa roxa, vou colocar este artigo na biblioteca online, tá?. Acho que é uma boa referência para quando se pergunta "o que é o vix".
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por Matraquilho » 10/2/2003 11:34

pata o que é o vix em portuga
(119.15 KiB) Transferido 1242 Vezes
É apenas a minha humilde opinião, para qq outro esclarecimento é favor consultar: http://www.miniclip.com/askjoe.htm
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Registado: 5/11/2002 1:27

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