Feb 19, 2011

Week in Volatility

From the volatility view it was a decidedly mixed week - VIX up, VSTOXX down.

While the volatility did its own thing I was watching the skew on VIX and VXX, and while I cannot point to any quantitative measures I have a strong feeling that something unusual was taking place this week. ATM vols on the VIX were up, but that is the usual pattern with VIX vols, and nothing out of the ordinary.

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