The gents over at CXO Advisory did some quick analysis on the seasonality of the VIX (Implied Volatility Index). They basically wanted to see if the market gets more skittish at certain times of the year, as measured by the VIX. What they found was pretty interesting…
- A late spring through early summer lull in volatility followed by a fall peak.
- Spring and fall rallies in returns alternating with winter and summer doldrums.
So, sell in May and go away, might also work for volatility too.