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December 3, 2008
The Volatility of the Volatility
Interesting graphy from my friend Duncan Stewart of the volatility of the current market volatility –- the slope of the VIX, as it were. Here are his comments on the graph (and click it for a larger version):
I find it interesting that even on a smoothed basis so far this year the volatility of the volatility hit some good spikes in January, March and July (9-13% spikes) but since September we have been sustainably in the 8-12% area (and that is smoothed!)
In other words, the market really is this volatile!
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