A few weeks after VIX, aka market implied vol, soared from the mid teens to 30 following the Trasury flash crash and the subsequent near correction in the market before the much publicized James Bullard stick save of the "wealth effect", VIX has since tumbled and at last check was once again trading in the 13/14 range, above the recent all time lows hit over the summer, even as the market continues to levitate on zero volume to ever higher record highs. Yet something is off: as those who have been following the S&P500 in the past 6 days, where the S&P closed at the following prints; 2038, 2039, 2038, 2039, 2039, 2041, this is the narrowest 6 day market range in well... ever.
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So what does this mean for that other volatility, actual realized? As Newedge's Brad Wishak points out, "30 days ago 5 day realized was printing 2yr highs (28%) vs 1% y'day." He also notes that the only lower realized vol print in the past decade was in September 2005.
His conclusion: "hallmark qualities of a healthy market indeed."
He is being sarcastic.
