TVIX - Examining Evidence Of A Volatility Regime Shift
Volatility is not a direct measure of fear or risk, but a measure of how strongly price action deviates around the mean. Low volatility indicates that the price of a security should not swing wildly around the mean and vice versa. Therefore, being long volatility is a bet on change. This can be negative change such as a recession or flash crash, or positive change such as the pre-2000s melt up. As the chart below shows, the market oscillates between regimes of high and low volatility as measured by time spent above or below the