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Monday, January 3, 2011

S and P 500 20 day volatility index hits 39 year low

OK, this is quite an obscure extrapolated statistic. The VIX (Volatility index) measures implied volatility in pricing of options / cost of risk. The VIX index today traded around 17.75, not an historic low.

However, looking at the past 20 days, the vix has been very stable, and that hasn't happened to this degree in 39 years. I think part of it is an anomaly of the holidays, but considering how fragile the financial world is, it is pretty astonishing.

Pretty freaking amazing, it can't help me think that extreme volatility is around the corner.

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