VIX In World Of Its Own - Or Are 'The Hedged' Unwinding?
January 8, 2013 - 2:55pm
While we have explained again and again why a falling spot VIX is not the panacea of risk indicators (simultaneous and curve shifts), it is however, the easiest lever for algos to drive equities at the margin on a thin day. Sure enough, as we head towards the 3pmET ramp time, VIX sellers are back en masse and while they managed to get S&P 500 futures up to VWAP, it would appear hedgers are more comfortable unwinding real positions (vol down, vol curve flatter, and stocks down). 60 minutes of fun left to see who wins...
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