{"id":40890380,"date":"2023-09-23T20:44:45","date_gmt":"2023-09-23T15:14:45","guid":{"rendered":"https:\/\/stockviz.biz\/index.php\/?p=40890380"},"modified":"2023-09-23T20:44:45","modified_gmt":"2023-09-23T15:14:45","slug":"vix-seasonality","status":"publish","type":"post","link":"https:\/\/stockviz.biz\/index.php\/2023\/09\/23\/vix-seasonality\/","title":{"rendered":"VIX Seasonality"},"content":{"rendered":"\n<p>Is India VIX seasonal? Yes.<\/p>\n\n\n\n<p>There is a huge amount of dispersion in the daily data when grouped by months. Taking averages of these may not make much sense.<\/p>\n\n\n\n<figure class=\"wp-block-image size-large\"><img decoding=\"async\" src=\"https:\/\/github.com\/stockviz\/blog\/blob\/master\/volatility\/vix-seasonality\/INDIA-VIX.monthly.png?raw=true\" alt=\"\" \/><\/figure>\n\n\n\n<p>However, when you decompose the series, you get some interesting monthly seasonality.<\/p>\n\n\n\n<figure class=\"wp-block-image size-large\"><img decoding=\"async\" src=\"https:\/\/github.com\/stockviz\/blog\/blob\/master\/volatility\/vix-seasonality\/INDIA-VIX.decomposition.png?raw=true\" alt=\"\" \/><\/figure>\n\n\n\n<p>Zooming into the &#8220;season_year&#8221; chart:<\/p>\n\n\n\n<figure class=\"wp-block-image size-large\"><img decoding=\"async\" src=\"https:\/\/github.com\/stockviz\/blog\/blob\/master\/volatility\/vix-seasonality\/INDIA-VIX.seasonality.png?raw=true\" alt=\"\" \/><\/figure>\n\n\n\n<p>If you transform the seasonality component and plot it by month, you&#8217;ll notice why everybody gets nervous in May.<\/p>\n\n\n\n<figure class=\"wp-block-image size-large\"><img decoding=\"async\" src=\"https:\/\/github.com\/stockviz\/blog\/blob\/master\/volatility\/vix-seasonality\/INDIA-VIX.seasonality.month.png?raw=true\" alt=\"\" \/><\/figure>\n\n\n\n<p>Code and charts on <a href=\"https:\/\/github.com\/stockviz\/blog\/tree\/master\/volatility\/vix-seasonality\" target=\"_blank\" rel=\"noreferrer noopener\">github<\/a>.<\/p>\n","protected":false},"excerpt":{"rendered":"<p>Is India VIX seasonal? Yes. There is a huge amount of dispersion in the daily data when grouped by months. Taking averages of these may not make much sense. However, when you decompose the series, you get some interesting monthly seasonality. Zooming into the &#8220;season_year&#8221; chart: If you transform the seasonality component and plot it &hellip; <\/p>\n","protected":false},"author":2,"featured_media":2106273,"comment_status":"closed","ping_status":"open","sticky":false,"template":"","format":"standard","meta":{"footnotes":""},"categories":[3471],"tags":[3221,1150],"class_list":["post-40890380","post","type-post","status-publish","format-standard","has-post-thumbnail","hentry","category-investing-insight","tag-vix","tag-volatility","entry"],"_links":{"self":[{"href":"https:\/\/stockviz.biz\/index.php\/wp-json\/wp\/v2\/posts\/40890380","targetHints":{"allow":["GET"]}}],"collection":[{"href":"https:\/\/stockviz.biz\/index.php\/wp-json\/wp\/v2\/posts"}],"about":[{"href":"https:\/\/stockviz.biz\/index.php\/wp-json\/wp\/v2\/types\/post"}],"author":[{"embeddable":true,"href":"https:\/\/stockviz.biz\/index.php\/wp-json\/wp\/v2\/users\/2"}],"replies":[{"embeddable":true,"href":"https:\/\/stockviz.biz\/index.php\/wp-json\/wp\/v2\/comments?post=40890380"}],"version-history":[{"count":0,"href":"https:\/\/stockviz.biz\/index.php\/wp-json\/wp\/v2\/posts\/40890380\/revisions"}],"wp:featuredmedia":[{"embeddable":true,"href":"https:\/\/stockviz.biz\/index.php\/wp-json\/wp\/v2\/media\/2106273"}],"wp:attachment":[{"href":"https:\/\/stockviz.biz\/index.php\/wp-json\/wp\/v2\/media?parent=40890380"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/stockviz.biz\/index.php\/wp-json\/wp\/v2\/categories?post=40890380"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/stockviz.biz\/index.php\/wp-json\/wp\/v2\/tags?post=40890380"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}