Assessing Recent Dynamics in the World of Vol
Alpha Exchange
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The Decline of the VXX in Q2 23
The decline in the VIX over the first half of 23 and the more than 50% loss in the VXX tell us something about the starting point of vol as 2023 got underway. It's fascinating to me that quote index products like ETFs, passive bond strategies and even put spread collar overlays are simply agnostic to the market price. In today's environment, a 3 month 5% out of the money call with a vol of 11 doesn't screen favorable to me.
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