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Posts by "trader freddie"

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Trader Freddie
Great Britain
Posted Anonymously
14 years ago
Mar 10, 2010 10:59
In Thread: S&P500 / VIX Ratio & USD LIBOR
Ashraf,

Doesn't the S&P 500's "Market Cap" weighting and re-balancing shenanigans make the comparison with the VIX a tricky exercise?

I have looked at the VIX versus its own moving average plotted alongside the S&P as a cross check and sometimes that can also be a helpful one to look at. http://www.indexindicators.com/charts/sp500-vs-vix-10d-rsma-params-x-x-x/

It shows that PRIOR to the S&P's sharpest up-swings, the ratio of the VIX to the VIX-10DMA has tended to be meaningfully ɭ, in contrast with where it stands at present (ə).
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