Sunday, April 17, 2011

Volatility Jumps

Volatility Jumps
A proprietary indicator based on jumps in implied volatility.
Readings of 60 and below are Bullish. [0, 60]
Readings above 60 are Bearish (Sub-normal). (60, 100]
Expected returns are based on historical data. Past performance is no guarantee that these relationships will hold in the future.
Expected returns are for 1-month and 3-month returns of the S&P 500.
The terms "Bullish" and "Bearish" do not mean that returns are expected to be positive or negative; rather, they mean that returns are expected to be higher or lower than normal. In practice, that really only applies to the "Bearish" term, since stocks returns have historically had a positive bias.

No comments: