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Seth Golden posted an update 4 years, 1 month ago
“A one-month, 96%-of-spot (roughly 25-delta) put option on the S&P 500 currently costs 1.1%. The premium is in its 85th percentile compared with the last five years, when the median cost of the same structure was 0.49%. However, compared with the past six months’ high-volatility period, the current premium is at its lowest level since February, and far cheaper than the median 1.9% premium over the past six months.”Given the “interesting” autumn schedule, we at TME doubt VIX will collapse much more. It is not “dirt” cheap, but getting very close to long protection levels here.
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