Could the VIX index have found a new normal and reverted back to a familiar trading range? A recent Credit Suisse report suggests that volatility across the term structure is beginning to normalize as investors shake off doomsday concerns from late August and September. Yet don’t be complaisant, the report advises, as volatility could be on the horizon. Volatility skew normalizes as market fears subside Perhaps the normalization can best be seen in the easing of volatility skew, which fell from the 64th percentile high, indicating significant near term concern, to the 28th percentile low last week. Volatility skew measures…
With Volatility Approaching Lows, Credit Suisse Says Hedge Now
Mark Melin
Mark Melin is an alternative investment practitioner whose specialty is recognizing the impact of beta market environment on a technical trading strategy. A portfolio and industry consultant, wrote or edited three books including High Performance Managed Futures (Wiley 2010) and The Chicago Board of Trade’s Handbook of Futures and Options (McGraw-Hill 2008) and taught a course at Northwestern University's executive education program.