VIX volatility and statistical arbitrage conditions

Posted by on May 16, 2017 in ArbMaker News! | No Comments

MSCI incorporated, besides being a firm that provides a host of analytics tools for investros (amongst other services) also runs a blog. This recent entry joins the abundance of commentaries already dissecting the historically low volatility prevailing in markets as measured by the VIX index.

What makes their analysis interesting for relative value, long/short traders is this graph and commentary (our highlights):

vix msci

This tallies (albeit anecdotally) with what we have seen in our research service so far in 2017: spreads have compressed and meandered gently around fair value for many of the pairs we track. This has made pair discovery (an ArbMaker strength)  a more precious exercise than it used to be!

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