Skip to content

Calendar Effect in Volatility

I received a few posts suggesting that the reason for the lower December VIX futures versus the January VIX futures is the “Calendar Effect”.  This implies that because December is a slow month due to the holidays, the December VIX futures contract should be priced lower.  If you look at my previous post regarding S&P 500 returns by month, you see that January and December do not look all that different.  Strong positive average returns for both months.  I did provide some analysis about volatility by month, but I thought I would expand it with percentile rankings:

Seems like a lot of volatility in September, October and November

The fall looks very volatile to me, but I would say December and January look awfully similar.  Maybe I should only look at recent history as a guide?

Posted in Derivatives, Markets.

Tagged with , .

Copyright © 2009-2013 SurlyTrader DISCLAIMER The commentary on this blog is not meant to be taken as an investment advice. The author is not a registered investment adviser. There is no substitute for your own due diligence. Please be aware that investing is inherently a risky business and if you chose to follow any of the advice on this site, then you are accepting the risks associated with that investment. The Author may have also taken positions in the stocks or investments that are being discussed and the author may change his position at any time without warning.

Yellow Pages for USA and Canada SurlyTrader - Blogged