Orange is the new black. Different is the new normal. Is 20 VIX the new 15 VIX?
That’s the question put forward by Bloomberg in their recent piece titled: “Battered and Bruised, Wall Street Makes Peace With Volatility”, where they have some juicy lines like:
Markets are “beginning to accept a shift in the volatility regime back to more historically average levels,” said Patrick Hennessy, head trader at IPS Strategic Capital in Denver, Colorado.
Put simply, market players are wagering the gauge will remain higher for longer — but they also reckon it will be little changed down the line. – Wall Street Journal
And that’s just the topic that the VIX specialists over at Pearl Capital Advisors considers in their insightful (and timely) new whitepaper titled “Volatility in Transition”. Pearl made noise earlier this year when they logged a +19% month during February’s vol spike, and have performed well during falling and flat volatility periods as well (past performance is not necessarily indicative of future results). They live and breath this stuff, so it was interesting to hear them highlight some stats such as:
We are in the 35th month (averaging time since the May 2013 and Nov 2017 troughs) since the bottom of our latest Realized Volatility period. On average, it has taken Realized Volatility approximately 41 months to then make a move into its 90th percentile.
Go check out the full whitepaper and stats here.
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