The Low VIX Hides Fierce Undercurrents

The Low VIX Hides Fierce Undercurrents Via RealInvestmentAdvice.com, Goldman Sachs’ volatility desk made the following comment: “With the VIX back to its lowest levels in more than a month, our Vol desk is focused on hedging opportunities as 1-month S&P implied correlation is near its lowest level in 20 years.”  Simply, a low VIX can convey a sense of market calm on the surface, yet implied correlation tells a different story. The VIX, based on option trading data, measures the ...

By Tyler Durden