Volatility Index Comparison
Posted on September 07, 2007 at 10:43 AM EDT
I last put up a chart of the five US equity volatility indices in mid-March, following the February 27th VIX spike. Now that we also have about three weeks following the VIX spike, I thought I might but up a similar chart of the volatility indices for the recent market action. The recent action (top chart) shows VXO once again leading the charge on the spike, with VXN the laggard -- just as was the case in March. Interestingly, during the secondary surge in volatility over the past two weeks or so, the VXN has been the most sensitive. With VXN and RVX options just around the corner , the relative movements of these volatility indices will be more important to watch.