In this video we discuss the the drivers of the CBOE Volatility Index (VIX) and assess the outlook and possibility for VIX spikes based on where the indicators are tracking. The video focuses on a topic from a recent edition of the Weekly Macro Themes report. One of the key charts shows 5 different single-factor models which have historically described where the level of the VIX is and provide a guide to where it "should" be based on the historical experience and the current readings of the data. The divergence on that chart, paired with low cross asset volatility, extreme short positioning, and a gradual uplift in VIX ETF assets under management, suggest that there is a higher probability of a VIX spike going forward. Check out the video for further comments and context, or get in touch to check out a copy of the report in question.
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