VIX vs. Historical Volatility Divergence
Asia closed mixed ( Nikkei up, Hang Seng down, Shanghai Composite down) Europe is trading positive 1% on average. Nothing special in the news today.
Everybody will be waiting for the FOMC policy meeting decision later today and then analyze every word in the statement. I would put my money on “nothing changes”.
Belisarius is puzzled with large VIX vs. historical volatility divergence (despite some large VIX bearish bets. The VIX is at 21.5, HV at 13. At the moment we could say that options are overpriced having in mind the HV. With earnings season month away I would expect VIX to be better proxy for future volatility.
Chart 1. S&P 500 & Historical Volatility
Source: Thinkorswim from TD Ameritrade
Chart 2. VIX
Source: Thinkorswim from TD Ameritrade