{"id":2314,"date":"2012-01-11T22:54:07","date_gmt":"2012-01-11T13:54:07","guid":{"rendered":"http:\/\/www.retar.jp\/?p=2314"},"modified":"2012-01-11T22:54:07","modified_gmt":"2012-01-11T13:54:07","slug":"%e6%9c%88%e5%88%9d%e3%81%aevix%e3%81%8c%e9%ab%98%e3%81%84%e3%81%a8%e3%80%81%e3%81%9d%e3%81%ae%e6%9c%88%e3%81%aesp500%e6%a0%aa%e4%be%a1%e6%8c%87%e6%95%b0%e3%81%ae%e5%a4%89%e5%8b%95%e5%b9%85","status":"publish","type":"post","link":"https:\/\/www.retar.jp\/?p=2314","title":{"rendered":"\u6708\u521d\u306eVIX\u304c\u9ad8\u3044\u3068\u3001\u305d\u306e\u6708\u306eS&P500\u682a\u4fa1\u6307\u6570\u306e\u5909\u52d5\u5e45\u304c\u5927\u304d\u304f\u306a\u308b\uff1f\/ We validate “If the VIX monthly open price is higher, the S&P 500 volatility is bigger”."},"content":{"rendered":"

\u672c\u65e5\u306f\u65e5\u7d4c\u30f4\u30a7\u30ea\u30bf\u30b92012\/01\/08\u53f714P\u306e\u8a18\u4e8b\u300c\u682a\u5f0f\u6295\u8cc7\u306f\u30a4\u30f3\u30d5\u30ec\u306e\u5099\u3048\u306b\u300d\uff08\u30a2\u30f3\u30c9\u30ec\u30fbF\u30fb\u30d9\u30ed\u30a4\u30c9\u535a\u58eb\uff09\u306e\u4e2d\u306e\u4e00\u90e8\u300c\u6708\u521d\u306eVIX\u304c\u9ad8\u3044\u3068\u3001\u305d\u306e\u6708\u306eS&P500\u682a\u4fa1\u6307\u6570\u306e\u5909\u52d5\u5e45\u304c\u5927\u304d\u304f\u306a\u308b\u3068\u306e\u7814\u7a76\u7d50\u679c\u304c\u51fa\u3066\u3044\u307e\u3059\u300d\u3092\u691c\u8a3c\u3057\u307e\u3059\u3002<\/p>\n

Today, we validate the article \u201cWe need the stock investing for future inflation\u201d (Dr. Andre F. Perold) of \u201cNIKKEI VERITAS 01\/08\/2011 issue 14Page\u201d.<\/font><\/p>\n

And we validate the part of \u201cIf the VIX monthly open price is higher, the S&P 500 volatility is bigger\u201d.<\/font><\/p>\n

\"01\"<\/a> <\/p>\n

\"02\"<\/a> <\/p>\n

\"03\"<\/a> <\/p>\n

\"04\"<\/a> <\/p>\n

 <\/p>\n

\u8abf\u67fb\u65b9\u6cd5\u306fVIX\u306e\u6708\u521d\u306eOPEN\u3068\u6708\u9593\u682a\u4fa1\u5909\u52d5\u7387\u3092\u6bd4\u8f03\u3057\u307e\u3057\u305f\u3002<\/p>\n

\u300cS&P500\u3068VIX\u300d\u300c\u30c0\u30a6\u3068VIX\u300d\u306f1990\u5e741\u6708\u304b\u30892011\u5e7412\u6708\u307e\u3067\u306e\u6708\u8db3\u3092\u6bd4\u8f03\u3057\u3066\u3044\u307e\u3059\u3002<\/p>\n

S&P500\u3068VIX\u306e\u5171\u5206\u6563\u306f0.24\u3002<\/h4>\n

\u30c0\u30a6\u3068VIX\u306e\u5171\u5206\u6563\u306f0.22\u3002<\/h4>\n

S&P500\u3068VIX\u306e\u65b9\u304c\u3088\u308a\u76f8\u95a2\u95a2\u4fc2\u306b\u3042\u308b\u3068\u3044\u3048\u307e\u3059\u3002<\/p>\n

\u201d\u3084\u3084\u76f8\u95a2\u304c\u3042\u308b\u201d\u7a0b\u5ea6\u306e\u6b63\u306e\u76f8\u95a2\u95a2\u4fc2\u306a\u306e\u3067\u3001\u76f4\u3061\u306b\u30c8\u30ec\u30fc\u30c9\u306b\u751f\u304b\u305b\u308b\u3082\u306e\u3067\u306f\u306a\u3044\u3068\u601d\u3044\u307e\u3059\u3002<\/p>\n

We checked the relation of the VIX monthly open price and the index monthly volatility.<\/font><\/p>\n

We compared \u201cS&P500 and VIX\u201d and \u201cDJI and VIX\u201d monthly data from 01\/1990 to 12\/2011.<\/font><\/p>\n

The covariance of \u201cS&P500 and VIX\u201d is 0.24.<\/font><\/h4>\n

The covariance of \u201cDJI and VIX\u201d is 0.22.<\/font><\/h4>\n

The conclusion these are weak positive correlation, so we can not suggest some effective trading tactics.<\/font><\/p>\n

 <\/p>\n\n\n\n\n\n\n\n\n\n\n
\n

-1 \uff5e -0.7<\/p>\n<\/td>\n

\n

\u5f37\u3044\u8ca0\u306e\u76f8\u95a2\/Strongest Negative Correlation<\/p>\n<\/td>\n<\/tr>\n

\n

-0.7 \uff5e -0.4<\/p>\n<\/td>\n

\n

\u304b\u306a\u308a\u306e\u8ca0\u306e\u76f8\u95a2\/Some Negative Correlation<\/p>\n<\/td>\n<\/tr>\n

\n

-0.4 \uff5e -0.2<\/p>\n<\/td>\n

\n

\u3084\u3084\u76f8\u95a2\u3042\u308a\/A little Negative Correlation<\/p>\n<\/td>\n<\/tr>\n

\n

-0.2 \uff5e 0<\/p>\n<\/td>\n

\n

\u307b\u3068\u3093\u3069\u76f8\u95a2\u306a\u3057\/No Correlation<\/p>\n<\/td>\n<\/tr>\n

\n

0 \uff5e 0.2<\/p>\n<\/td>\n

\n

\u307b\u3068\u3093\u3069\u76f8\u95a2\u306a\u3057\/No Correlation<\/p>\n<\/td>\n<\/tr>\n

\n

0.2 \uff5e 0.4<\/p>\n<\/td>\n

\n

\u3084\u3084\u76f8\u95a2\u3042\u308a\/A little Positive Correlation<\/p>\n<\/td>\n<\/tr>\n

\n

0.4 \uff5e 0.7<\/p>\n<\/td>\n

\n

\u304b\u306a\u308a\u306e\u6b63\u306e\u76f8\u95a2\/Some Positive Correlation<\/p>\n<\/td>\n<\/tr>\n

\n

0.7 \uff5e 1<\/p>\n<\/td>\n

\n

\u5f37\u3044\u6b63\u306e\u76f8\u95a2\/Strong Positive Correlation<\/p>\n<\/td>\n<\/tr>\n<\/tbody>\n<\/table>\n

 <\/p>\n

\u76f8\u5834\u5206\u6790\u306e\u30ea\u30af\u30a8\u30b9\u30c8\u304c\u3042\u308a\u307e\u3057\u305f\u3089\u201cContact Us<\/a>\u201d\u304b\u3089\u304a\u77e5\u3089\u305b\u304f\u3060\u3055\u3044\u3002\u3054\u8981\u671b\u306b\u304a\u5fdc\u3048\u3067\u304d\u308b\u3088\u3046\u306b\u52aa\u529b\u3044\u305f\u3057\u307e\u3059\u3002<\/p>\n

\u3053\u306e\u30d6\u30ed\u30b0\u306f\u3042\u304f\u307e\u3067\u3082\u500b\u4eba\u7684\u306a\u898b\u89e3\u3067\u3042\u308a\u3001\u6295\u8cc7\u5224\u65ad\u306f\u5404\u81ea\u3067\u304a\u9858\u3044\u81f4\u3057\u307e\u3059\u3002\u5f53\u30d6\u30ed\u30b0\u306f\u4e00\u5207\u306e\u6295\u8cc7\u640d\u76ca\u306b\u5bfe\u3059\u308b\u8cac\u4efb\u3092\u8ca0\u3044\u307e\u305b\u3093\u3002<\/p>\n

\u30db\u30fc\u30e0\u30da\u30fc\u30b8\u306b\u6765\u3066\u4e0b\u3055\u3063\u3066\u3042\u308a\u304c\u3068\u3046\u3054\u3056\u3044\u307e\u3059\u3002\u660e\u65e5\u3082\u3088\u308d\u3057\u304f\u304a\u9858\u3044\u3044\u305f\u3057\u307e\u3059\u3002<\/p>\n

If you have some request to analyze, please write to \u201c<\/font>Contact Us<\/font><\/a>\u201d.<\/font><\/p>\n

We do best effort for your request.<\/font><\/p>\n

These are only personal opinions on this blog, and you need the investment judgment in each one. This blog doesn\u2019t assume the responsibility to all the investment profit and loss.<\/font><\/p>\n

Thank for watching our contents. My best regards next day.<\/font><\/p>\n","protected":false},"excerpt":{"rendered":"

\u672c\u65e5\u306f\u65e5\u7d4c\u30f4\u30a7\u30ea\u30bf\u30b92012\/01\/08\u53f714P\u306e\u8a18\u4e8b\u300c\u682a\u5f0f\u6295\u8cc7\u306f\u30a4\u30f3\u30d5\u30ec\u306e\u5099\u3048\u306b\u300d\uff08\u30a2\u30f3\u30c9\u30ec\u30fbF\u30fb\u30d9\u30ed\u30a4\u30c9\u535a\u58eb\uff09\u306e\u4e2d\u306e\u4e00\u90e8\u300c\u6708\u521d\u306eVIX\u304c\u9ad8\u3044\u3068\u3001\u305d\u306e\u6708\u306eS&P500\u682a\u4fa1\u6307\u6570\u306e\u5909\u52d5\u5e45\u304c\u5927\u304d\u304f\u306a\u308b\u3068\u306e\u7814\u7a76\u7d50\u679c\u304c\u51fa […]<\/p>\n","protected":false},"author":1,"featured_media":0,"comment_status":"closed","ping_status":"closed","sticky":false,"template":"","format":"standard","meta":{"footnotes":""},"categories":[32,16,3,10],"tags":[],"class_list":["post-2314","post","type-post","status-publish","format-standard","hentry","category-sp500","category-chicago-options-vix","category-report","category-dow-jones-industrial-average"],"_links":{"self":[{"href":"https:\/\/www.retar.jp\/index.php?rest_route=\/wp\/v2\/posts\/2314","targetHints":{"allow":["GET"]}}],"collection":[{"href":"https:\/\/www.retar.jp\/index.php?rest_route=\/wp\/v2\/posts"}],"about":[{"href":"https:\/\/www.retar.jp\/index.php?rest_route=\/wp\/v2\/types\/post"}],"author":[{"embeddable":true,"href":"https:\/\/www.retar.jp\/index.php?rest_route=\/wp\/v2\/users\/1"}],"replies":[{"embeddable":true,"href":"https:\/\/www.retar.jp\/index.php?rest_route=%2Fwp%2Fv2%2Fcomments&post=2314"}],"version-history":[{"count":1,"href":"https:\/\/www.retar.jp\/index.php?rest_route=\/wp\/v2\/posts\/2314\/revisions"}],"predecessor-version":[{"id":2315,"href":"https:\/\/www.retar.jp\/index.php?rest_route=\/wp\/v2\/posts\/2314\/revisions\/2315"}],"wp:attachment":[{"href":"https:\/\/www.retar.jp\/index.php?rest_route=%2Fwp%2Fv2%2Fmedia&parent=2314"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/www.retar.jp\/index.php?rest_route=%2Fwp%2Fv2%2Fcategories&post=2314"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/www.retar.jp\/index.php?rest_route=%2Fwp%2Fv2%2Ftags&post=2314"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}