What's up with the VIX?

[oldmonk]

SPX is down 14% from ATH, but the VIX has barely got going. Based on VIX's historic beta relative to SPX, this should be above 30 now, at least. What's going on here?

 

[guru]

IMHO: VIX is an indication of hedging, but when funds are liquidating or moving to cash then they don't need to hedge. Everyone else who is in the market long-term wouldn't get much benefit from temporary hedging. There doesn't seem to be much fear about the economy tanking either. Just "regular" volatility nowadays, and waiting for losers to liquidate whatever they have left.
And when you spend money on hedging all year long, it wears off.

 

[Cuddles]

looks like a mirror to me

 

[guru]

looks like a mirror to me

I assume you don't trade anything related to VIX? The whole VIX world is talking about record breaking VIX lethargy.

 

[redharel]

Since the XIV got busted the VIX traders are much more careful, you won't get the squeezes like we did before. The correlation have changed between the indices and the VIX. It's a all new ball game.

 

[srinir]

IMHO: VIX is an indication of hedging, but when funds are liquidating or moving to cash then they don't need to hedge. Everyone else who is in the market long-term wouldn't get much benefit from temporary hedging. There doesn't seem to be much fear about the economy tanking either. Just "regular" volatility nowadays, and waiting for losers to liquidate whatever they have left.
And when you spend money on hedging all year long, it wears off.

Agree with this. There was not much demand for VIX options or SPX options for hedge purposes in this down move. Only in last couple of weeks there is uptick in the hedging activities. It can be seen from VVIX (demand for VIX options) and SKEW (demand for SPX puts).

 

[rallymode]

I assume you don't trade anything related to VIX? The whole VIX world is talking about record breaking VIX lethargy.

Who is the whole VIX world? The Najarian bros? Perhaps a bit muted but certainly nothing record breaking when you compare apples to apples, IMO. This selloff has been very orderly so you are not gonna get 40+ VIX readings. Those events are on the tail side of things. Also, as previously mentioned the leveraged short vol trade died in February so you are not get much interest in buying vol into market drops.

 

[nooby_mcnoob]

Since the XIV got busted the VIX traders are much more careful, you won't get the squeezes like we did before. The correlation have changed between the indices and the VIX. It's a all new ball game.

For a few short cycles. Greed is constant.

 

[guru]

Who is the whole VIX world? The Najarian bros? Perhaps a bit muted but certainly nothing record breaking when you compare apples to apples, IMO. This selloff has been very orderly so you are not gonna get 40+ VIX readings. Those events are on the tail side of things. Also, as previously mentioned the leveraged short vol trade died in February so you are not get much interest in buying vol into market drops.

Haven’t seen much from or about Najarians in a while. Though if you don’t see that SPX/VIX spreadsheet posted, reposted and discussed every day in various trading Facebook groups and on Twitter, then obviously you’re not part of that world.
Though you do seem to agree that VIX is muted, and that’s the point, and the reason for the original post here, I assume.

 

[rallymode]

Haven’t seen much from or about Najarians in a while. Though if you don’t see that SPX/VIX spreadsheet posted, reposted and discussed every day in various trading Facebook groups and on Twitter, then obviously you’re not part of that world.
Though you do seem to agree that VIX is muted, and that’s the point, and the reason for the original post here, I assume.

Your spreadsheet is comparing apple to oranges. Not to mention that half your data points are from before vix derivatives started trading. But not surprising given the source i.e. FB and twitter groups which admittedly i am not a part of