Fast Take
An evaluation of the CBOE Volatility Index (VIX), a important market indicator usually used to measure the market’s expectation of future volatility, reveals intriguing patterns. The analysis of common every day change within the VIX from 1990 to 2023 signifies a propensity for the index to dip markedly on Fridays, with Tuesdays trailing. This pattern substantiates the prevailing concept of VIX compression on Fridays, including empirical validation to this widespread market perception.
On a broader scale, a boxplot distribution of the common VIX index throughout every month of those years unveils seasonal tendencies. October and November, characterised by wider VIX distributions, are indicative of heightened variability. This commentary reinforces the notion of those months being extra vulnerable to volatility. On the flip aspect, months comparable to Could and June exhibit decrease VIX averages, signaling intervals of diminished volatility.
Apparently, sure months like October highlight outliers, suggesting situations when the VIX notably deviated from its typical vary. This signifies years when volatility within the equities market reached distinctive highs or dipped to uncommon lows.
These insights into the weekly and seasonal VIX patterns present a data-driven lens to know the rhythm of the equities market, a vital side of strategic monetary planning and decision-making.
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