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.


DISCLAIMER: "VIX®" is a trademark of Chicago Board Options Exchange, Incorporated. Chicago Board Options Exchange, Incorporated is not affiliated with this website or this website's owner's or operators. CBOE assumes no responsibility for the accuracy or completeness or any other aspect of any content posted on this website by its operator or any third party. All content on this site is provided for informational and entertainment purposes only and is not intended as advice to buy or sell any securities. Stocks are difficult to trade; options are even harder. When it comes to VIX derivatives, don't fall into the trap of thinking that just because you can ride a horse, you can ride an alligator. Please do your own homework and accept full responsibility for any investment decisions you make. No content on this site can be used for commercial purposes without the prior written permission of the author. Copyright © 2007-2021 Bill Luby. All rights reserved.
Web Analytics