VXO 统计认为选举年11月要小心

cougar

看图
Normally， volatility begins to climb right away during July and August, eventually peaking in midOctober.  Then it falls dramatically during the fall of the year, eventually ending the year not much above the July lows.  

In election years,  volatility changes a bit, but not tremendously.  The vol low is about September 1st, and volatility remains high longer — into Thanksgiving – before finally declining somewhat in December.

heheboy

This is good. Thanks.

heheboy

This election year, the VIX was spiked in May to June, and comes down afterward

silicon_beaver

hunting

hellofriend

当时惘然

silicon_beaver

I did re-plot VXO using yahoo data (1986 - now 2012 Nov.)



y-axis: VXO, at each year.
x-axis: days of a year (about trade 250 days a year). you can estimate Month (Jan, Feb, Mar, , ,) by the x-axis scale.

silicon_beaver

If remove 1987 and 2008 (very volatile), VXO plot looks like this.

heheboy

silicon_beaver 发表于 2012-11-10 02:57 PM
If remove 1987 and 2008 (very volatile), VXO plot looks like this.

can you compute the average curve across all years?

google

silicon_beaver 发表于 2012-11-10 03:57 PM
If remove 1987 and 2008 (very volatile), VXO plot looks like this.

主席看这个跟抽象派的绘画一样

silicon_beaver

google 发表于 2012-11-10 12:00 PM
主席看这个跟抽象派的绘画一样

That's exact my first feeling.
(no clue at all).
I will try average per heheboy.

heheboy

silicon_beaver 发表于 2012-11-10 03:08 PM
That's exact my first feeling.
(no clue at all).
I will try average per heheboy.

actually error bar type plot might be good, you don't have to do it just for for me.

Thanks.

silicon_beaver

Here is Average, 20SMA, BB_lower and BB_upper of all years VXO since 1986.

silicon_beaver

Added VIX plot.
Note: The VIX has replaced the older VXO as the preferred volatility index used by the media. VXO was a measure of implied volatility calculated using 30-day S&P 100 index at-the-money options.

aimei

silicon_beaver 发表于 2012-11-10 02:53 PM
I did re-plot VXO using yahoo data (1986 - now 2012 Nov.)

art

wsjboy

天书，不懂