SVOL - Volatility And Hedging Update - June 2024

2024-06-21 03:15:00 ET

Summary

• VIX has increased a bit since our last update in spite of the rise in the equity market, which is rare but plausible given VIX is on the lower side of the historical range.
• VIX futures however were mixed, with the front end declining and the longer end rising.
• VIX and VIX futures are still below their average levels over the last 6 months and have some potential to go higher.

Table 1: Recent VIX History

VIX has increased a bit since our last update in spite of the rise in the equity market, which is rare but plausible given VIX is on the lower side of the historical range....

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