The VIX Index has retraced nearly all of its spike into the mid-80’s at the height of the sell-off in March. The long-term moving average for the VIX is in the 19’s, and in recent years, it’s really been in the mid-teens. At 29, the VIX is still (even after this retracement) elevated relative to itself. Are we in a new regime where 29 is the new 19 (or 15)? Time will tell – but with realized vol elevated, it may be sometime before a sustainable sub-20 VIX comes back to be the norm.
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|Chart of The Day – May 15, 2020|