VIX Is Edging Closer to Normal

I've highlighted the VIX index numerous times in the past, and it's noteworthy (and bullish) that it is now down to levels not seen since last September. There is a similar index for the bond market that is published by Merrill Lynch, called the MOVE index: "This is a yield curve weighted index of the normalized implied volatility on 1-month Treasury options. It is the weighted average of volatilities on the CT2, CT5, CT10 and CT30."

It has also dropped significantly, and is now back down to the levels of last August, just before the big collapse in the market. Both of these indices are still above levels that one would consider "normal," but they are now far closer to normal than they are to levels corresponding to severe stress (note that the chart shows only month-end values for each index. The VIX peaked at 90 and on an intra-month, intra-day basis, traded well over 60 for most of October and November last year). Very bullish.

Comments

[HipHoption:]

We're also seeing some large buyers of downside VIX put options as a view that implied volatility will decline. Ironically, this is pushing up the implied vol of volatility on the downside, but it still is still bullish nonetheless.

Apr 16 10:42 PM

[Francisco M...:]

Edging closer to normal because of diminished participation from investors not buying this recent rally. Volatility is a great measure when volumes are normal, not sub-par.

Apr 16 11:29 PM