Chart of The Day - May 18, 2020

By: Chris Wenner in Charts 05/18/2020

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.

CW

By: Chris Wenner

Managing Director

Jonathan Molchan

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