Willing to Pay for Protection

“Current selloff hasn’t been met with complacency (as we’ve seen many times YTD) – instead people are very willing to pay for protection this time around. (i) short-dated (1m normalized) SPX skew is near a 3 year high and (ii) implied volatility of the VIX (aka “vol of vol”) has surged higher due to the market reaching for VIX upside calls.” (Goldman Sachs)

Advertisements

Leave a Reply

Fill in your details below or click an icon to log in:

WordPress.com Logo

You are commenting using your WordPress.com account. Log Out / Change )

Twitter picture

You are commenting using your Twitter account. Log Out / Change )

Facebook photo

You are commenting using your Facebook account. Log Out / Change )

Google+ photo

You are commenting using your Google+ account. Log Out / Change )

Connecting to %s