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“Downside Protection Is For Suckers”

Natural floor

Volatility is mean reverting, a concept many struggle to understand. VIX at these levels is not dirt cheap, but expecting much lower VIX going forward is naive. The index has spent most of the past 6 months in the 15/20 range. The natural floor in VIX was "bumped" higher post the big volatility shock last August.

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