VIX Could Go Much Lower Just as Hedge Funds Bet on Its Futures
- MRA’s fair-value model sees ‘fear gauge’ reverting lower
- Large speculators often ‘dead wrong’ at extremes: Schaeffer’s
A trader looks over computer monitors as he works in the Cboe Volatility Index (VIX) pit on the floor of the Cboe Global Markets, Inc. exchange in Chicago, Illinois/
Photographer: Daniel Acker/BloombergThis article is for subscribers only.
U.S. stock volatility may be ripe for significant declines.
A fair-value model based on economic fundamentals suggests that the Cboe Volatility Index -- the equity market’s “fear gauge” -- should be at a much lower level, according to Vinay Viswanathan and Dean Curnutt of Macro Risk Advisors.