Extremes In The Spread Between VIX And 20-Day Historical Volatility In S&P 500
Posted on November 11, 2008 at 19:00 PM EST
In the comments section in yesterday’s The Spread Between the VIX and 20 Day Historical Volatility in the SPX, über reader Frank shared his analysis of the VIX (^VIX) relative to the 20 day historical volatility (HV) of the SPX (^GSPC). Frank’s conclusion is that when the spread between the VIX ...