Monday, September 29, 2014

Oh and also, a VIX downside target

VIX weekly:

This chart tells you that it's been perfectly normal, as in five occasions over the past 2.5 years, for $VIX to spike +3.5SD on the weekly chart.

The present statistical set puts that target at 19; but the bands are widening, so maybe 20 will be the ultimate target.

I doubt we can get to a 2011-style outlier without a global panty-piddling of Eurodoom proportions.

I still don't get what's driving this present crotch-wetness: fear of Catalunya independence? Fear of a Hong Kong massacre? Or fear that Gross leaving Pimco will collapse the world bond market?

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