Is Volatility of Volatility Unusually High? – (Mid-Year Update – Part 3)

After reading news reports the past few weeks about the Eurozone crisis, one might get the impression that the volatility of volatility is unusually high. 

A key measure of volatility of volatility is the CBOE VIX of VIX Index (ticker VVIX, www.cboe.com/VVIX ) which is designed to measure the expected future volatility of the CBOE Volatility Index® (VIX®) www.cboe.com/VIX . On Friday the month-end closing values were 89.59 for the VVIX Index and 17.08 for the VIX Index – both of these closing values are below the average values for each index over the past year (see the chart and table below).

The VVIX Index can serve as a valuable gauge for investors who use the popular VIX options.

VVIX and VIX VOLATILITY INDEXES – ONE-YEAR CHART

(June 30, 2011 – June 29, 2012)

VOLATILITY INDEXES –

MAXIMUM, MINIMUM AND AVERAGE

OF DAILY CLOSING VALUES OVER THE PAST YEAR

(June 30, 2011 – June 29, 2012)

LOW VIX OPTIONS PUT/CALL RATIO ON THURSDAY

On Thursday, June 28, the VIX options put/call ratio was 0.15 (with volume of 35,879 puts and 241,628 calls).  The June 28 put/call ratio was the lowest since January 13, 2012. A spreadsheet with daily volumes and put-call ratios is available at the VIX microsite at www.cboe.com/VIX

LINKS TO ADDITIONAL INFORMATION

More blogs with mid-year updates and analysis will be posted in the near future at www.cboe.com/blogs .