Again, folks keep asking me about why the VIX is so low - the fact is that it's not that low given the anemic level of day-to-day actual market volatility we've been seeing for many weeks now.
When the regional banking crisis hit we still didn't have much movement overall but at least neck-breaking intraday volatility kept the VIX from falling too quickly below 21-22.
Now, as all-around market volatility and volumes dry up we are seeing a VIX that quite frankly should be below 15 at this point.
The thing to keep in mind is that volatility is a relative value concept - VIX 18 is often too high, and VIX 23 is often too low.
Counterintuitive? Sounds like it, but it's all about what the underlying index is actually doing. And these are the kinds of metrics that we keep track of when managing overlays for clients.
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