Picking up on something we first noted over a month ago, and following last week’s VIX fireworks, this morning Goldman’s Ian Wright looks at the rapid changes in the volatility landscape – beyond just last Thursday’s near historic surge in the VIX which shot up from single digits to over 17 in 48 hours – and points out something that has never been observed before: the ratio of VVIX to VIX, or the vol of vol relative to implied volatility as per the VIX, just hit the highest level on record, while the VVIX itself spiked to the highest level since the August 2015 ETFlash crash.
The also confirmed something else we observed in mid-July when we showed that the price of VIX convexity had hit an all time high, when we said that the market has never trusted the VIX as little as it did then.
This post was published at Zero Hedge on Aug 14, 2017.
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