14
Apr
10

Entendiendo Volatilidad

En un reciente post de Daily Options Report –donde se vuelve a analizar el rol del VIX-, Adam Warner ilumina el escenario de como leer correctamente la volatilidad.

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buyers do step in for “cheap” volatility. And get their faces ripped off. Cheap is only relative to the volatility of the underlying instrument. And if the underlying is not moving, you better watch out buying paper. Everyone learns this lesson the hard way.

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Even though it ostensibly looks forward 30 days, the VIX does a better job telling you what already happened than what’s up in the future. About 3/4 of the VIX level is explained by the recent past and 1/4 is a forward looking estimate. And often an obvious one, like the Fed’s about to speak, the market may move.

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You have 10 options screens in front of you, each with individual stock volatility doing all sorts of things in all sorts of time frames. Not to mention the stocks themselves doing what they do.The VIX is the narrowest of measures, it’s 30 day volatility on one index. It’s a terrific proxy to give you an impression of what’s doing in volatility in the blink of an eye, but it tells a tiny fractiion of the whole story and thus should not be treated as some sort of gospel to the penny.

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