I’ve been traveling like a madman on behalf of CBOE in June. I try my best to keep up with the markets when I’m out and about, but sometimes the catch up occurs outside of real time. This weekend is one of those catch up weekends. I was aware of the VIX move over 15.00 (who wasn’t?) and that VIX was a bit higher than it had been for most of 2017 to finish the week. What surprised me was the level of VXST on Friday.
VXST is a measure of 9-day volatility expectations[...]