I found this article @ Bloomberg and have a hard time understanding what the author is talking about:
Then there’s the CBOE VVIX Index, which is the implied volatility of the VIX. The idea is that although the market expects low volatility in the S&P 500 over the next 30 days, it expects big moves in volatility. That’s based on the high ratio between the VVIX and the VIX, which has averaged 8.0 since the beginning of May. Other than the last year, the ratio has only been above 8.0 on 10 scattered days from October 2006 to January 2007, when the first cracks in the subprime mortgage market were becoming obvious. The average value up to a year ago was 4.8.
Submitted July 10, 2017 at 11:42AM by iuqeyewqiu http://ift.tt/2sI2KVW
