AllQuant
2023-04-18

The VIX keeps going lower. Are we entering a new low-vol regime? While no one can say for sure, we can look to history as a guide. Ideally, we should look at the historical implied volatility, but VIX only started in 1990. Hence, I used realized volatility of the S&P 500 as a proxy since it goes back to the Great Depression.

I define high vol as anything above 20 and low vol as below 20. The Great Depression was indeed a scary period, spending most of the time in a high-volatility regime. But in modern times, we are in a low-volatility regime most of the time. However, we still get the occasional vol spikes that can rival the Great Depression.

$Cboe Volatility Index(VIX)$ $Barclays iPath Series B S&P 500 VIX Short-Term Futures(VXX)$ $SPDR S&P 500 ETF Trust(SPY)$

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  • Guy
    ·2023-04-18
    Depression is under the way so I think we'd better take care anytime.
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  • BarbaraWillard
    ·2023-04-18
    We may buy in the dip when people are in high-volatility.
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  • Guy
    ·2023-04-18
    What is the 20 of VIX mean here?
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  • SG20748
    ·2023-04-18
    k
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  • LEESIMON
    ·2023-04-18
    Ok
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