Volatility Based Sentiment Indicators for Timing the Markets
VIX, published by the Chicago Board Options Exchange, is a well known implied volatility estimator. In this paper we assess its capability to be used as a sentiment indicator, and to give signals for a short term investment strategy. It will be proved and discussed how VIX-based strategies – also known as “Contrarian” strategies – can be effective as they lead to higher returns than the market. We