News & Events

Speedy Mean Reversion - The VIX's Return To Normalcy

January 30, 2018

The mean reversion of the VIX- the speed at which it returns to its long run average, is faster than it’s ever been.

This implies that while the VIX is at historically low levels, any news shocks that cause the VIX to jump will fade out extremely quickly.

Traders should not get spooked by spikes in the VIX. A fleeting investor is likely to miss out on a large upside.