Market Measures

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VIX and the Probability of Touch

Market Measures

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Tom and Tony take a look at the Probability of touch in the in VIX. In a previous Market Measures, 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: RESULTS:

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.

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