When updating the chart below, where the price and normalized volume of SPY from 2003/2004 intertwines with the SPY of 2009/2010, I noticed one area of consistent difference between the two time spans—volatility. Using the VIX index as a proxy for actual volatility, the ’09 / ’10 values have averaged about 40% higher than the ’03 / ’04 bull market. On the slight chance that the existing chart wasn’t busy enough, I added the daily VIX closing values from the two time spans. It’s not too surprising the VIX is running higher this time around, the 2000 bear market took around 30 months to go from the 2000 highs to the 2003 bottom. The 2008/2009 crash only took 6 months—it’s no wonder people are still edgy.
As usual my crystal ball continues to be cloudy. USA economic news continues to be upbeat, while the Euro-zone continues to thrash. My hat is off to the German bankers, count on them to be straight talkers! I’m guessing fear will have the upper hand on Monday and Tuesday.
- A Tale of Two Bulls
- The Volatility Landscape—May 2013
- VIX Futures—Crystal Ball or Insurance Policy?
- When the Term Structure Chart Lies to You…
- Short Volatility on a Roll
Sunday, May 16th, 2010 | Vance Harwood