The VIX index (a measure of implied volatility) put in an amazing performance on Friday, rocketing 24% higher on the session. The index had been trending lower since peaking just north of 80 in late December of last year. On October 21st, it reached its lowest level since September of 2008. Not coincidentally, that was also the day of the stock market's most recent peak. The volatility of volatility was pretty dramatic in October.
Disclosure: Things had become a little too calm for our liking. We initiated a long volatility position on October 19th to increase our hedge position.
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