Visto che le cose vanno bene (sì qualche titolo ha perso a NY, ma andando short l'indice lo si neutralizzava e l'Italia continua a tirare bene) vale la pena di imparare qualcosa ad es c'è veramente da preoccuparsi che la Volatilità a NY sia ora così bassa ? Uno studio di Merril Lynch molto discusso questo mese dice di no, che la volatilità è reattiva e non anticipatrice. Ora c'è questo interessante pezzo di Ben Warwick che spiega meglio come funziona e come usarla ------------------------------------------ A Different View of Market Volatility By Ben Warwick -------------------- The large Wall Street firms have also joined the fray. According to a recent paper by Merrill Lynch, volatility isn't nearly as effective in timing the market as one might think. But based on my own analysis -- and research on how professional investors use the indicator -- I'm inclined to disagree with that conclusion. Running for Cover When stock market researchers of yore were trying to figure out if stocks trended -- if an up day has a good chance to be followed by another up day, or a down day by a down day -- simple analysis of price action didn't yield much fodder. Then came the advent of cheap computing power, and viola -- price trends seemed to come out of the woodwork. Related Stories Instead of Picking Stocks, Time the Market <http://www.thestreet.com/p/rmoney/quantview/10013364.html> Supply and Demand Also Applies to Options <http://www.thestreet.com/p/rmoney/intrinsicvaluerm/10013946.html> So what changed? PCs enabled researchers to examine what happened after both large and small price changes. They found that after large gaps, prices reversed; small price changes in one direction, however, were typically associated with momentum and continuation. And so it goes with volatility. As many folks who've written about it have mentioned, the VIX does seem to have a mean reverting component: Volatility spikes are commonly followed by a move in the other direction. But what about small changes in the VIX? As it turns out, when volatility moves in minute increments as it's doing now, it has a tendency to trend. The VIX has trended rather nicely since early October, for example, and there doesn't seem to be any indication of a course change in the near future. Professional traders caught on a long time ago to the way volatility moves. "Volatility Timing in Mutual Funds," a paper in the Winter 1999 issue of The Review of Financial Studies, showed that mutual funds that boast outsized returns over a decade or more seemed to share the ability to reduce positions as volatility increases. By paring positions before a market shock, these funds garnered higher risk-adjusted returns than their less-knowledgeable rivals There seems to be a pattern of high volatility before cataclysmic market events. High volatility occurred immediately before the stock market crash in 1987 and the currency crisis of 1998. And it occurred in early September 2001, prompting those who used it as an indicator to pare their positions before the terrorist attacks bruised the market. Curiously enough, there isn't much evidence that these winning fund managers have any talent in stock picking. Their value-added seems to come solely from volatility timing -- a fact that underscores my belief that timing the market is easier than trading in and out of equities. Volatility Timing for the Masses How can these revelations help short-term traders improve their results? It's really quite simple. Take the most recent price action. With the VIX in such a tame mind-set, it's more likely that the current uptrending direction of stocks will continue. But with the extent of this month's gains, the upside is probably quite limited. However, a much better trade can be had if the market makes a dramatic one-day move down. If that were to occur, volatility would increase, and that would give traders a chance at getting long for a short-term pop. The last time this occurred was Feb. 4, a day when the S&P 500 closed at a five-day low and the VIX ended the day at a 10-day high.