With the VIX sporting a 30 day historical volatility of 206 (a 52 week high) and a current implied volatility of only 85 (as of EOD Friday), it is reasonable to wonder whether this wide gap is an opportunity to stock up on some VIX calls.
Well…since I was unable to get this post up before the new home sales data came out, some of the opportunity has already disappeared, but, truth be told, the divergence in the chart is now only slightly narrower than is shown in the iVolatility chart below.
At current levels (low 14s) I am generally neutral with respect to the direction of the VIX. You can make a case for the high historical volatility as a signal to buy the market and/or sell the VIX; you can also make a case for the relatively low IV in the VIX as an opportunity to go long the VIX. I consider most of what shows up in the graph below to be an artifact of the sharp correction and elevated emotions associated with a perception of increased risk.