The VIX, like farmland prices, is a subject near and dear to our hearts.
From Schaeffer's Research:
On Wednesday, March 16, the CBOE Market Volatility Index (VIX) closed at 29.40 -- a rather substantial 35% above its 10-day simple moving average (SMA). Three sessions later, one had to wonder whether this VIX spike had really happened. By the close on March 22, the VIX had dropped to 20.21, almost exactly 10% below its 10-day. And then kept going and going and...Recently:
We don't see too many VIX extensions this large to begin with, much less such a quick turnaround. Here's a chart of VIX vs. its 10-day SMA, in red, vs. the S&P 500 Index (SPX), in black, over the past half-year.
Pretty amazingly, we hit both a six-month high and low for the VIX vs. its 10-day SMA within the space of six trading days....MORE
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