
Assessing Recent Dynamics in the World of Vol
Alpha Exchange
The Faltering VIX and the Loss of Capital
In Q2, the highest level of one-month realized vol reached in the S&P was just 14. There's only so much premium of the VIX to realize vol that can be justified - fears of a debt ceiling debacle notwithstanding. The faltering of the earnings engine for long vol strategies pulled the rug out from under the VIX.
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