"Volatility Index Declines Amid Structured Products and Market Stability"
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"Volatility Index Declines Amid Structured Products and Market Stability"
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One primary factor influencing the VIX is the behavior of option dealers in the context of structured products linked to the S&P 500. As these dealers hedge their positions, they can dampen market volatility, effectively leading to lower VIX levels. Over the past two years, there has been a rise in yield-enhancing structured products, which has coincided with a decrease in the VIX. This suggests that the hedging activities associated with these products are contributing to the index's decline.
Contrary to some expectations, the increased trading in short-term options, particularly zero-days-to-expiry (0DTE) options, has not significantly impacted the VIX by drawing activity away from one-month-to-expiry options. Data indicates that the surge in 0DTE trading has not substantially diverted attention from longer-term options, helping maintain a stable VIX.
Additionally, macroeconomic data surprises, such as unexpected results in non-farm payrolls and core CPI, have shown limited and often insignificant influence on the VIX. While positive economic surprises might intuitively suggest increased market calm resulting in a lower VIX, studies have found these relationships to be inconsistent and not reliably impactful on the index's movements.
The performance of the S&P 500 also plays a critical role in influencing the VIX. Historically, the VIX moves inversely to the S&P 500: as the S&P 500 rises, indicating reduced market fear, the VIX typically decreases. The current positive performance of the S&P 500, which has reported a robust 1-year return of 23.31%, aligns with the recent drop in the VIX.
Despite prevailing uncertainties such as the path of interest rates and geopolitical tensions, the VIX has remained below its long-term average of around 20 for the majority of 2023. This trend is reflective not just of market stability but also of the continued influence of structured products and hedging activities. Significant daily fluctuations have been recorded, with a recent example being the drop from 19.