The Low VIX Hides Fierce Undercurrents
Goldman Sachs's volatility desk made the following comment: "With the VIX back to its lowest levels in more than a month, our Vol desk is focused on hedging opportunities as 1-month S&P implied correlation is near its lowest level in 20 years."  Simply, a low VIX can convey a sense of market calm on the surface, yet implied correlation tells a different story. The VIX, based on option trading data, measures the implied volatility of the S&P 500 index. A low VIX means traders expect the market to be relatively calm with not much volatility. Conversely, a higher VIX reflects…
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