Jun 4, 2011

Week in Volatility

Markets fell, and VIX rose substantially on Wednesday. What is unusual that is week over week long-term futures were practically unchanged, slightly higher for VIX, and slightly lower for VSTOXX futures. GVZ volume is not growing - with zero futures and 40 options contracts traded in the last week. It also looks like the bid-ask spreads on GVZ options have widened since the contract listed. Oh well...




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