Volatility Segmentation - Extracts

CBOE:VI1!   S&P 500 VIX
108 5 5
View: I think volatility is on the rise and is going to test 28 soon and maybe 36 before year end.


I split the volatility prices in 5 segments:
(1) 9% - 16% - Very stable - Slow - Steady regime on SPX            
(2) 16% - 28% - Spikes of fear within rally.
(3) 28% - 36% - Strong moves down
(4) 36% - 56% - Extreme moves down
(5) 56% - 80% - End of the world

Note: on the only expample available on this chart where volatility increase durably above 36%, the move up lasts only 2 months, it takes another 2 months for vol to reposition in the middle of band (4), 3 months flat and 3 months back below 28..

Once it manages to establish durably above 28, the crisis takes 2 months to reach extremes of vols (which spikes before sp500             finds bottom (5months earlier).

In the whole crisis of 2007/2008, vol only spends 8 months above 28%.

Other extract:
Volatility starts to spike a few months before the actual top.
Volatility starts to recede a few months before the actual bottom.

In essence: Fear comes first in both cases.
+1 Reply
Interesting chart Yacine!
The atr is at previous trendline support that has helped identify the previous three tops before a pullback.
+1 Reply
well spotted.
+1 Reply
it good easily go through the line if the resilience is 14 days at the top with moves below 10pts...
But the general idea is good still.
+1 Reply
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