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Assessing Recent Dynamics in the World of Vol

Alpha Exchange

CHAPTER

The S&P and QQ in Light of the Staggering Returns Delivered at the Top of the Index

The US debt problem was the third leg by which the floor on the VIX gave way and we ultimately closed below 13 on June 22nd. The other two C's are credit and acknowledgement of the linkage between corporate bond spreads and equity vol and capital. A world flush in risk bearing capital is generally one of low option prices. Think of how inconsistent the early 2007 lows in credit spreads and VIX were with the actual risks.

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