24 January 2016 - the VIX is trading at 22.34.
Exactly five months ago to the date, on Monday, August 24, 2015, the VIX peaked at 40.74, reducing to 36.02 the following day. This corresponded to a sudden drop (and whipsaw action) in the S&P 500 Index.
The next day, though people kept selling the index, they also sold off volatility, anticipating a rebound in the index.
It was also an interesting time to contemplate risk reversals, selling puts and buying calls, to take advantage of the change in market direction (here risk reversal is considered as an investment stratey rather than measure of vol skew).
Exactly five months ago to the date, on Monday, August 24, 2015, the VIX peaked at 40.74, reducing to 36.02 the following day. This corresponded to a sudden drop (and whipsaw action) in the S&P 500 Index.
The next day, though people kept selling the index, they also sold off volatility, anticipating a rebound in the index.
It was also an interesting time to contemplate risk reversals, selling puts and buying calls, to take advantage of the change in market direction (here risk reversal is considered as an investment stratey rather than measure of vol skew).
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