James joins Liz and Jenny to discuss VIX and the less often discussed, VVIX index.
This segment is all about the relationship between the S&P 500, itsindex, the VIX, and the volatility index for the VIX, VVIX. These are often used to help us find trading opportunities. Can VVIX be used as an additional indicator of finding opportunity?
The correlation between the VIX and the S&P 500 is always negative but its level varies over time. Market sell offs result in an increase in option prices and thus the VIX increases ().
VVIX represents the implied volatility of VIX options. An example was shown to demonstrate how VIX option prices change with the level of VVIX.