Market participants rushed to purchase protection, with VIX soaring to above 18 from below 13 a few days ago. What is the impact of this increase on the Variance Risk Premium? Result – not massive – the implied volatility rose pretty much in line with the realized.
The Variance Risk Premium for S&P 500 has surged ahead of the Fed-meeting. The cost of protection has increased without an increase in the realized volatility. For details see the report Variance Risk Premium.
The Variance Risk Premium for S&P 500 is fast approaching the “Worry” zone. For details check the report Variance Risk Premium.