by Martin Sibileau, Sibileau:
A corollary of this Austrian view of the VIX is that under a system with simultaneously a gold standard (i.e. commodity backed currency) AND a 100% reserve requirement (i.e. no credit multiplier), the weight of implied correlations in the determination of a forward looking implied volatility index should be irrelevant.
A corollary of this Austrian view of the VIX is that under a system with simultaneously a gold standard (i.e. commodity backed currency) AND a 100% reserve requirement (i.e. no credit multiplier), the weight of implied correlations in the determination of a forward looking implied volatility index should be irrelevant.
The collapsing CBOE Volatility Index
(VIX) and its implication that it is now safe to dive into equities has
received much attention in the press (see here and here). Today, I want to briefly discuss what this index represents and implies
What is the VIX?Read More @ Sibileau.com
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