The Market Sold off with good reason. But the truth is IV was not up as much as people think once we account for the movement down the skew curve. The VXX, a much more accurate measure of skew was only up about 2.9 points. By my account ATM IV was up a little more than 1.5% while downside skew did sharpen a little.
I’ll give a week ahead analysis Sunday. Make sure to read the View From the (Virtual) Pit, with Mark Oldani.
Don’t forget to check out Option Pit. Next week, Option Pit/Option 911 will have a HUGE announcement
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