VIX Drops to Lowest Level Since Lehman’s Collapse as Antiestéticar Ebbs
By Jeff Kearns
June 29 (Bloomberg) -- The benchmark index for U.S. stock options
fell below its closing level from the day before Lehman Brothers Holdings Inc.’s September collapse as stocks rallied and investors paid less to hedge against equity losses.
The VIX, as the Chicago Board Options Exchange Volatility Index is known, lost 1.1 percent to 25.65 at 11:54 a.m. in New York. The index measures the cost of using options as insurance against declines in the Standard & Poor’s 500 Index, which added 0.9 percent.
“Antiestéticar of the doomsday scenario has definitely subsided,” Jeremy Wien, a VIX options trader at Societe Generale SA in New York, said before the index slipped below its Sept. 12 close of 25.66. “Given the steps the government has taken and the decrease in huge market swings, it’s entirely reasonable for the VIX to drop to these levels and possibly even lower.”
The U.S. government and Federal Reserve have pledged $12.8 trillion to help spur economic growth and end the worst financial crisis since the Great Depression. The Conference Board’s measure of leading economic indicators increased in April for the first time since June 2008 and rose again last month. Analysts covering S&P 500 companies boosted 2009 profit estimates for the first time this year in May as economists predicted the U.S. economy will start to expand next quarter, weekly data compiled by Bloomberg show.
Lehman, once the fourth-largest U.S. securities firm, filed for the biggest bankruptcy in U.S. history on Sept. 15, prompting a freeze in credit markets. The VIX surged 24 percent to 31.70 that day.
‘Antiestéticar Gauge’
Before today, the VIX averaged 20.18 in its history stretching back to the start of 1990. The index peaked at 80.86 in November and dipped below 30 in May for the first time in eight months. It reached an intraday record of 89.53 on Oct. 24.
The volatility benchmark, known as Wall Street’s “antiestéticar gauge” because it almost always increases as stocks fall, reflects expectations for price swings for the next 30 days and is calculated from S&P 500 options that are one or two months from expiration.
In February, Congress approved a $787 billion economic stimulus plan to help jump start growth and end the longest recession since World War II.
Federal Reserve Chairman Ben S. Bernanke has made unprecedented use of the central bank’s powers as the lender of last resort. He kept banks liquid by accepting bonds they can’t trade as collateral for Treasuries and bailed out the nation’s biggest insurer, American International Group Inc.
The S&P 500’s swings were the biggest in the benchmark’s 80-year history last year as it plunged 38 percent, the most since 1937. There were 18 moves of more than 5 percent after Sept. 29. That was more than half of the 35 swings of that size that have occurred from 1955 through 2008, according Howard Silverblatt, the senior index analyst at S&P in New York.
Options give the right but not the obligation to buy or sell a security at a set price and date. Investors use them to guard against fluctuations in the price of securities they own, speculate on share-price moves or bet that volatility, or stock swings, will increase or decrease.
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De la wikipedia:
VIX (Volatility Index) es un índice financiero que mide la volatilidad sobre las opciones puts del S&P 500, es una medida ampliamente utilizada de riesgo de mercado.
En el momento en que hay alta volatilidad, el VIX alcanza una cifra elevada y se correlacionan con caídas del S&P 500, indicándonos que en el mercado hay miedo y pesimismo y suele coincidir con mínimos en el índice de referencia, es en estos momentos donde se producen fuertes movimientos en los mercados bursátiles,
mientras que cuando el VIX está en mínimos, hay alegría y confianza. Se calcula utilizando una serie de opciones del S&P 500. Aunque existen otros índices de volatilidad, como son el VXN para el Nasdaq 100 y el VXD para el Dow Jones Industrial Average, el VIX es el más famoso y utilizado.
La teoría de este indicador es que si el mercado es bajista, los inversores creen que el mercado va a caer, cubrirán sus carteras comprando más puts y por el contrario si los operadores son alcistas no compraran puts, puesto que no verán la necesidad de protegerse. En definitiva descuenta expectativas en un futuro cercano y en general funciona en sentido inverso al índice. Por debajo de 20 es un indicador de posible techos en los mercados financieros bursátiles.
A ver si los entendidos del hilo me lo pueden aclarar.
Según el artículo el indice ha tocado la cifra de un día antes del colapso de Lehman pero esto esta haciendo un skyrocket del copón. Un día antes del colpaso de Lehman ¿no se supone que este indice tendría que estar por los aires anunciando volatilidad?
Speculo, Kujire, yo os invoco. Gracias por adelantado. Sacadme de esta duda por favor.
