I interpret the 110 vomma zone needs to be dynamically
calculated over time as IV changes since VVIX measures IV of VIX
options. I believe that level has increased over time as IV and use
of VIX options has increased.
They show that VVIX tends to be higher when values of VIX itself
are higher but not as much as one would think. It’s definitely
academic stuff and I’m sure there are HFs calculating real time
optimal zones.
I interpret the 110 vomma
VVIX and an interesting observation
Posted by mitchell on 2nd of Aug 2021 at 05:23 pm
I interpret the 110 vomma zone needs to be dynamically calculated over time as IV changes since VVIX measures IV of VIX options. I believe that level has increased over time as IV and use of VIX options has increased.
When I previously looked into this topic this was helpful: https://www.macroption.com/volatility-vix-vvix-1307/
They show that VVIX tends to be higher when values of VIX itself are higher but not as much as one would think. It’s definitely academic stuff and I’m sure there are HFs calculating real time optimal zones.
that's a good theory, while
Posted by matt on 2nd of Aug 2021 at 06:34 pm
that's a good theory, while the 110 area seems to be of significance at the moment, in the past it was probably a different number like 105 etc