In case you don’t know what the VIX measures, I remember it by thinking that it measures stress, anxiety, fear — certainly not a formal definition, but it ‘works’ for me🙂 . . . ~J
02/10/2015 16:53 -0500
It appears the management team at FRBNY have decided that manipulating the US equity market via selling VIX has run its course (which started when Brian Sack left and Simon Potter took over) . As of this week – there has never been a bigger speculative long VIX position (implicitly bearish stocks). One wonders what the consequences are?
VIX Futures net long position has never been higher…
Perhaps this is why?
and implied correlation appears to be getting a little more anxious about crash potential (h/t @JaredWoodward for chart)