Is Volatility of Volatility Unusually High?

After reading news reports the past few weeks about the Eurozone crisis, one might get the impression that the volatility of volatility is unusually high. 

 A key measure of volatility of volatility is the CBOE VIX of VIX Index (ticker VVIX, www.cboe.com/VVIX ) which is designed to measure the expected future volatility of the CBOE Volatility Index® (VIX®) www.cboe.com/VIX

 Last Friday the month-end closing values were 89.59 for the VVIX Index and 17.08 for the VIX Index – both of these closing values are below the average values for each index over the past year (see the chart and below). 

 The VVIX Index can serve as a valuable gauge for investors who use the popular VIX options.

LOW VIX OPTIONS PUT/CALL RATIO ON THURSDAY

 On Thursday, June 28, the VIX options put/call ratio was 0.15 (with volume of 35,879 puts and 241,628 calls).  The June 28 put/call ratio was the lowest since January 13, 2012. A spreadsheet with daily volumes and put-call ratios is available at the VIX microsite at www.cboe.com/VIX

LINKS TO ADDITIONAL INFORMATION

VVIX and VIX VOLATILITY INDEXES – ONE-YEAR CHART  (June 30, 2011 – June 29, 2012)

The average daily closing values over the past year were 99 for the VVIX Index and 24.7 for the VIX Index.  www.cboe.com/volatility .

Volatility of Vlatility

Measures of the implied volatility of VIX and SPX options

 

 

 

 

 

 

The posts on this blog are opinions, not advice.
Please read our disclaimer for Indices.

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