14d • General discussion
Last Tuesday the VVIX/VIX Ratio Dropped Below 5
Most traders watch VIX. Very few watch VVIX. Last Tuesday something interesting happened. For the first time since November, the VVIX/VIX ratio dropped below 5.
According to Tastytrade research, that volatility regime is extremely favorable for premium sellers. On average, strangles sold when VVIX/VIX < 5 generate about 4x higher PnL (!!!) compared to periods when the ratio spikes above 6, which is a toxic environment for short volatility.
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Last Tuesday the VVIX/VIX Ratio Dropped Below 5
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