Normally, this would point to a potentially strong reversion to
higher volatility, but the 30 & 60 day implieds are sitting at
over a 70% premium to realized. So implieds have a lot of room to
come down in the next 2 months. This mitigates the probabilities of
a strong pullback in the index.
Newsletter
Subscribe to our email list for regular free market updates
as well as a chance to get coupons!
Normally, this would point to
ZH - Nasdaq Volatility hits lowest level on record
Posted by a_l_ on 14th of Mar 2017 at 09:13 pm
Normally, this would point to a potentially strong reversion to higher volatility, but the 30 & 60 day implieds are sitting at over a 70% premium to realized. So implieds have a lot of room to come down in the next 2 months. This mitigates the probabilities of a strong pullback in the index.