Calling All Fans!

Submit your video questions to be answered LIVE on Friday morning!

Submit

Market Measures

Monday – Friday | 9:00 – 9:20a CT

VVIX to VIX Ratio At All Time Highs?

Market Measures

Options involve risk and are not suitable for all investors. Please read Characteristics and Risks of Standardized Options before deciding to invest in options.

The VVIX to VIX ratio is at an all-time high, what does this mean and how does it affect our trading? Tune in to hear Tom and Tony go through the numbers!

The VIX is low, but the VVIX is high. This means the market is expecting the volatility of the S&P 500 to be low, but the volatility of that volatility to be high. Investors purchasing cheaper protection in the form of VIX calls has caused this VVIX to VIX ratio to reach its highest point ever.

Currently, the VVIX to VIX ratio is in the 4th quartile with a value of 9.1. This is near its all time high of 10.07, which it made October 11th, 2017.

In periods of low volatility, it is easier to have a lower ratio of VVIX to VIX. In times of market complacency, this ratio can be higher. Does this ratio have any effect on our short premium strategies?

Study:
  • Testing short 16 Delta Strangles when the VVIX to VIX ratio was high
  • Strangles managed at 50%
  • SPY 2007 to present

Tune in to see how these Strangles compare in terms of Average P/L, Win Ratio and Max loss when executing this strategy at different ratio levels!

Market Measures More installments

See All »

Latest tastytrade Videos As of October 18

Most Shared From the last 30 days