Tom and Tony take a look at the Probability of touch in the in VIX., we look at the actual vs. expected move in the VIX. Today, we take a look at the probability of the VIX touching either side of our expected move. STUDY:
- 45 DTE
- Observed all when underlying touched the one move, compared expected vs. actual
We find the VIX has a significantly higher probability of touching the put side rather than the call side. Also, if the call side touches, we had roughly a 63% chance of it moving back out-of-the-money. IF it touches the put side, we have about a 50/50 shot.