'Please Stop Talking About the VIX So Much' Revisited

Abstract

Asness (2017) wrote a short piece in 2017 titled Please Stop Talking About the VIX So Much. He was cautioning about reading too much in the VIX. Figure 1 shows VIX (CBO, 2019) since 1990. In 2020, VIX has scaled new peaks and remains elevated over its long term average. When Asness wrote his note in 2017, VIX was less than the 1st percentile low. More recently, it has been more than the 1st percentile highs. In this environment, it is reasonable to ask the question whether Asness' conclusion `VIX and realized volatility are almost entirely the same thing' holds true.

Keywords: Portfolio Construction, VIX, Market Risk

JEL Classification: G00, G10, G11