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 (21-day std dev close-to-close log returns < 10%) Market in High Volatility State VIX too high …

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A glitchy week for the VIX

Last week didn’t inspire a lot of confidence in the CBOE’s Volatility index:  VIX A 0.6% SPX dip, gone two hours later triggers a 3.75% step up in the VIX that didn’t go away At the Thursday morning opening VIX glitches down 0.6 points and then jumps 1.3 points VIX  glitches down a point Friday morning for 15 minutes, and then recovers to within 0.03 …

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