MarcusWilliamson
Long

VVIX cheap, long volatility ahead of FED

INDEX:VVIX   CBOE Vvix Index
VVIX             represents the volatility of the VIX             indicator, more precisely its the 30 day expectation of the VIX             index which is the expectation of implied volatility in the SPX             in 30 days time. Read more on this on CBOE's website.

VVIX             is mean reverting in nature, as it is as index and non-tradable it represents this mean reversion without market expectation building this into its price directly, some expectation will be implied from VIX             futures market - and that whole "tail wags the dog" argument.

I believe the VVIX             is unusually low as can be eyeballed by the chart I have created. Despite the SPX             coming off its all time highs and global discussions on NIRP, economic slowdown, migrant crisis, Oil             crisis etc...

For me this implicitly represents an under pricing of volatility risk protection, I can backup this confidence with looking at market Junk bond demands and Puts & Calls Open interest on the S&P500             , relatively low put volume especially around the current market price.

I am expecting a pickup in volatility as we approach the FED March 16th rate decision and this presents an opportunity to purchase exposure to volatility then profit from its explosive nature if the future looks a little less clear cut.

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