View: I think volatility is on the rise and is going to test 28 soon and maybe 36 before year end.
Observations:
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%.
Observations:
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%.