Forecasting a Volatility Tsunami
June 14, 2017
A webcast presentation based on Andrew Thrasher’s 2017 Charles H. Dow Award winning research of the same title, originally held on June 14, 2017 as part of the CMT Association’s Educational Web Series.
The empirical aim of this research is motivated by the anecdotal belief among the professional and non-professional investment community, that a “low” reading in the CBOE Volatility Index (VIX) or large decline alone are ample reasons to believe that volatility will spike in the near future. While the Volatility Index can be a useful tool for investors and traders, it is often misinterpreted and poorly used.
This webcast will demonstrate that the dispersion of the Volatility Index acts as a better predictor of its future VIX spikes.
