The Chicago Board Options Exchange implied volatility index, or the ‘VIX’, closed at 10.11 points yesterday after dipping as low as 9.90 points intra-day.
An analysis published this morning suggests that while the index’s low levels imply markets are relaxed about the prospects for volatility the indicator may be tainted by trading factors.
Deutsche Bank’s head of global fundamental credit strategy, Jim Reid, said the VIX closing low was a “highlight” of yesterday’s US trading session.
“To put yesterday’s closing level in context, in the 6871 business days since the inception of the VIX (going back to 1990) we have only ever seen the index close lower than last night’s level on 14 occasions,” he said.
“Quite impressive stats.”