Tuesday, June 10, 2014

The VIX Is Not A Great Way to Measure Complacency - Bloomberg View

The VIX Is Not A Great Way to Measure Complacency - Bloomberg View: "This is I think roughly the way to read the notion, which my Bloomberg View colleague Mohamed El-Erian examined today, that low readings on the VIX -- an index of implied volatility in short-dated S&P 500 index options -- mean that the market is "complacent." So:

Equity volatility is basically a mean-reverting thing.2
The volatility index is below its long-run average.
Therefore volatility will go higher.
Soon and horribly.
Run, you fools!
Why are you being so complacent?"



'via Blog this'

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