There is a superb tension atm between Bulls and Bears, which, unless one wins, will suppress volatility. Short VIV23 at 17.45. If prepared to be cautious then a limit order at 17.8
Enter the Universal Volatility (UV) Equation, a dynamic formula that unravels the intricate relationship between these two indices and the futures market. Why bring futures into the equation? Because they hold the key to understanding the expected mean reversion of the VIX. Now, let's dive deeper: 1. Comparing the Indices: To analyze the indices, one of them undergoes a transformation – it's inverted, rescaled, and adjusted with a beta factor to capture the varying rates of movement between them. 2. The Futures Factor: Futures play a crucial role as they provide insights into the expected mean reversion of the VIX. But here's the fascinating part: - Long-Term Insights: During times of panic, when observed over a longer period, the UV is primarily influenced by the VIX. This shift occurs because the beta between the two indices increases. - Short-Term Dynamics: In contrast, during calmer periods, the VIX tends to be subdued with...
Comments
Post a Comment