In yesterday’s Big Idea , I pointed out that on Friday, September 30, while the CBOE Volatility Index(VIX_) went up, the volatility of VIX options went down. Yesterday, again while SPX was up, in an even more clear sign that the market is both fully hedged and/or hitting a volatility fatigue, SPX options actually saw the implied volatility of their options fall too. This may not be a great sign…
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