This week’s episode examines the continued improvement in market health as we transition further into a constructive volatility regime. I analyze the normalization of the variance risk premium and the structural cushions now present in the VIX futures term structure. Other topics include:
- Intraday bifurcation between the VIX and VVIX and the significance of the 95 level.
- Index vol getting some relief from a drop in stock vol.
- 30-day SPX realized volatility dropping below 12% for the first time in several weeks.
- Recent upticks in the MOVE index as the rates market reactivates.
Watch the full deep-dive below to assess the current risk environment.
Here we go!
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