Wednesday, April 11, 2007

VIX Implied Volatility Falls Below Pre-2/27 Level

The last time I mentioned the widening gap between the VIX's implied volatility and historical volatility, IV stood at 85, well below the average IV reading for the past year. In the two weeks since that post, IV has fallen all the way down to 75, which is now below even pre-2/27 levels, as the graph below demonstrates.

I am not sure what to make of this other than to observe that we appear to be entering another period of meta-complacency. Though the VWSI is not flashing a signal to buy the VIX yet, this does look like it might be a good time to start nibbling.

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