No, the VIX is Not Broken

Hardly a month goes by without some pundit trumpeting that the VIX is broken. But before you worry too much, consider some of the non-obvious characteristics of the Cboe’s Fear Gauge. First a Summary These charts list possible explanations for perceived VIX “brokenness” Complaint Market in Low Volatility State (Low Vol = 21-day std dev log returns < 10%) Market in High Volatility State VIX …

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