Tag Archives: Hamish Preston

What is VIX Predicting about Future Volatility?

VIX® closed last night at 11.33.  What, if anything, does that mean? We recently published a research paper, together with a more digestible practitioner’s guide, that provides a method for converting a given VIX level into an expectation for S&P 500® volatility over the next 30 days.  Exhibit 1 shows that these estimates have provided Read more […]