Mark Sebastian's blog
The news today is going to be the rally in the S&P 500 and the continued utter obliteration of VIX. But I think the more interesting part of the story is the way VVIX has dropped the last couple of days followe up by its complete and utter dismemberment after the fed announcement. With VIX dropping more than the S&P rhas rallied along with the crushing in VVIX, there may be a run higher in SPX back toward its highs.
Yes, the VIX is back below 16, and close to 15, and the market made up about 60% of what it gave away on Friday. But, given the change in the news and the buildup ahead of the Fed speak today, I thought we could see vol of vol move MUCH harder than VIX itself....It didnt and if anything its still signaling major warnings signs about what could come up in the next week.