Yesterday on Volatility 411 I spoke about the VIX3M / VIX ratio. For old school volatility traders VIX3M is the relatively new ticker for VXV and this is a 3-month volatility index based on S&P 500 Index Option pricing.
VIX3M tends to close at a premium relative to VIX, but that spread narrows when there’s a bit more short-term panic in the markets. Full blown market concern is attributed to a condition where VIX3M is at a discount to VIX. Over the[...]