Goldman Warns Of “One Of The Largest VIX Dislocations On Record”

Jon Alternative Media, Blogosphere, Market Commentary, Politics

The VIX has increased on nine consecutive sessions, a new record; and the term structure of SPX implied volatility is now steeply inverted, pricing in a potential wide swing over election week. However, as Goldman Sachs notes, although the VIX is up, the market hasn’t actually been moving that much and that has led to one of the largest VIX dislocations on record. In fact, VIX has overshot its typical beta to the SPX by 5 vol points.
After the jump in shorter-dated risk, the term structure of SPX implied volatility is now steeply inverted, pricing in a potential wide swing in the S&P 500 index during election week (Exhibit 1).

This post was published at Zero Hedge on Nov 7, 2016.