- The VIX® closed last night at 18.85; in contrast to the previous year, when each bout of volatility quickly dissipated, the VIX has remained consistently at a level of around 20 in 2015 so far.
- The VVIX, which measures volatility of volatility, remains higher than its more recent average – indicating that the more frequent spikes in volatility seen in the past quarter may well be set to continue.
- Taken together, the high VVIX and VIX suggest that life has become and will remain more interesting for the U.S. equity markets in the medium term.
- A combination of factors is driving the current volatility regime, as every one of our correlation measures is smaller in magnitude more recently than in the longer term.