Email of the day (1)
Comment of the Day

April 24 2012

Commentary by David Fuller

Email of the day (1)

On VIX:
"Thank you for keeping the 6 month VIX futures in the chart library.

"Volatility tends to be a coincident indicator however the volatility spread (VIX - 6 mo VIX future) has shown itself to be a leading indicator both in the current pullback and in 2011. This is very helpful in risk assessment. Perhaps we could have a spread chart available (VIX - 6 mo VIX future)? Even if you do not do this, it is very easy to construct a spread chart.

"I personally do not find the 3 mo VIX future of much use as it is not far out enough to give a good spread chart. Any comment from anyone in the collective who is more informed about using volatility to predict equity risk would be appreciated."

David Fuller's view Thanks for sharing your expertise on this subject. I believe this is the chart you are referring to and if so Eoin can add it to the Library on his return. Also, when you customise this or any other chart of interest, before closing the 'Charting' customisation box used to create it, click on 'Save' in the top line and it will go to your 'Favourites' section.

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