Jeremy Wien: Utilizing the VIX Index

Jeremy Wien is truly a wellspring of practical VIX information! I posted earlier about his research here and here. Two months ago he made a presentation (with Jason Hedberg) at the CBOE Risk Management Conference, titled Utilizing the VIX Index. Here is the direct link to the presentation, below are the main points:
  • VIX at 16 is low compared to its historical levels, but high relative to SPX vol, and vol of vol premium
  • For short vol use 1:3 put spread
  • For long vol use actively managed 1:2 call spread
Link to the conference webpage.

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