Dec Jan Feb March April May June July November 20, 2014 1 VIX - - PowerPoint PPT Presentation

Dec Jan Feb March April May June July November 20, 2014

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VIX Futures Historical Prices

August 1, 2011

August 8, 2011

40 35 30 25 20 15 0 30 60 90 120 150 180 210

Days to Expiration

vixcentral.com

5 Day SPX % Return Start VIX Value End VIX Value 5 Day VIX % Move 5 Day 1st

• mo. future %

return 5 Day 4th

• mo. future %

return 5 Day 5th

• mo. future %

return 5 Day 6th

• mo. future %

return

• 13.0%

23.66 48.00 102.9% 76.6% 28.6% 21.2% 20.2%

Volatility

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Credit Suisse

https://publications.credit-suisse.com/tasks/render/file/index.cfm?fileid=88F22B53-83E8-EB92- 9D555B7A27900DAC

From Credit Suisse: In the Sourcebook, we identify 11 major spikes in the VIX, each associated with an economic or political crisis. For each crisis, Figure 10 shows the time taken in trading days for the VIX to revert from its peak volatility back to its (then) long-run mean. The longest reversion time was during the credit crunch/Lehman crisis, when it took 232 trading days (11 months). The average time was 106 trading days, or just under five months. Figure 10 also shows the “half-life,” or the time taken to revert half the way back to the mean. The average half-life was just 11 days.

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