Thursday, July 31, 2014

Fear and Loathing in the VIX

The VIX closed at 16.95 today with a 30-day forward looking implied volatility of 97.30. A far move from earlier this month where the VIX threatened to go single digit. Take a look at the IV vs HV chart below. Red: IV; Blue: HV In a future post, I'll try to convince...