Quick Sentiment Update

Equity Index Bid, But Not Extreme

Here are some quick thoughts on the index implied volatility markets ahead of payrolls tomorrow morning. The VIX, VVIX (volatility of volatility), the 6-month/1-month term structure of the VIX futures curve and the skew index are all high, but not extreme. Implied correlation is off its all-time lows but remains historically below average and our measur…