Equity Returns Following Extreme VIX and WVF Movements, Part 1

Equity Returns Following Extreme VIX and WVF Movements, Part 1

October 25, 2012 · by admin · in

Can extreme changes in implied volatility help predict future returns? And can we use a VIX surrogate as a substitute? First, let’s take a look at the WVF and its relationship to the VIX. The Williams’ VIX Fix (WVF) is…