Volatility spiral

摘要

Equity volatility plumbed new depths last week as the VIX marked its lowest close in history. As so-called fear gauges go, the VIX doesn't seem to be doing a particularly good job at reflecting a backdrop riddled with geopolitical unease. With a headline figure that fails to reflect tensions between the US and North Korea, an Iranian nuclear deal that lies in the balance, and the return of European instability as Catalonia pushes for independence from Spain, it's easy assume that the VIX is broken.