A MORE ELEGANT MEASURE OF TAIL RISK

摘要

In recent years, some market participants have noted the the fact that the CBOE Volatility Index~® (VIX~®) has often been was several points below its long-term average of around 19.8, and they asked if there still continued to be strong interest in the hedging of equity portfolios. A response I give to this inquiry is to suggest that investors examine the values of a number of additional metrics, including VIX futures prices, the CBOE VIX of VIX Index (VVIX), and the CBOE SKEW Index (SKEW), in order to gain a fuller picture of trends in investor sentiment and interest in hedging.