Seonglae ChoVolatility index
공포지수
A numerical representation of how widely the S&P500 index is distributed one month later as predicted by people. It is also called the fear index because it rises when the stock market falls rapidly. If market participants all think about a similar future, everyone will want to trade at similar prices, so the VIX will decrease. In other words, VIX is similar to standard deviation.
While it's possible to achieve excess returns when the VIX is high, there are also advantages to investing when the VIX is low. This is because the 'return on volatility' increases. In other words, you can earn the same 10% return more comfortably (experiencing lower volatility) when the VIX is low.
Looking at the monthly average value of the VIX and the distribution of the S&P500 index's return relative to volatility, there is a clear negative correlation between the two.
공포에 사라는 말, 진짜일까?
이런 말은 VIX가 ‘공포 지수’라는 별명을 달고 있기 때문에 생겨난 단순 착각일까요? 그건 아니에요. 위 사례처럼 VIX가 높을 때 초과 수익이 가능한 동시에, VIX가 낮을 때 투자에서 얻을 수 있는 이점도 있어요.
https://webview.fint.co.kr/internal/app/crm/buy-in-fear-240813
datavalue.dunamu.com
http://datavalue.dunamu.com/static/pdf/%EB%91%90%EB%82%98%EB%AC%B4%20%EB%94%94%EC%A7%80%ED%84%B8%EC%9E%90%EC%82%B0%20%EA%B3%B5%ED%8F%AC-%ED%83%90%EC%9A%95%20%EC%A7%80%EC%88%98%20Methodology%20Book%202.0.pdf