CMRA Articles and Commentary
The Volatility market move yesterday was unprecedented: an increase of 177% from 23.68 to 65.7. The spike was reversed intraday and the VIX closed at 38.57.
Extreme fluctuations like what we saw in the VIX yesterday create significant gains for some and significant losses for other clients.
Read MoreThe volatility of the VIX Index has at times caused the impression that it is less than reliable as an indicator of risk. VIX futures and the volatility surface provide clearer information about the market perception of risk and should be used in conjunction with the VIX Index. The different movements of the VIX Index, VIX futures and of the volatility surface historically fall into four major categories that can be useful in understanding the level and length of equity market risk perceived in the options market.
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