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On Mar 19, 11:18pm, THE DOCTOR wrote:
>
> Over the last few years actual volatility has generally exceeded implied
> volatility which means it was, in fact, easy to buy undervalued options,
> and if you did it continually for the last few few years the rate of
> return would have been incredible.
>
In a related matter, see the attached plot of "volatility of
implied volatility", using VIX as the basis and the Ave. True Range
expressed as a percent of the closing value, averaged over the
past 5 days. Right now, the level is pretty high, but not as high
as it has gotten in the past on the days that market tanked, and
VIX really got moving. High values of VIX volatility correlate
with high values of VIX, and on that basis the currently VIX volatility
is on the high side given the current relatively low-level of VIX.
Don't know what to make of that, from a trading point of view.
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