​Mid-Week Roundup – Risk Premia Depressing VIX; Insurance Firms Eye Hybrids

Should the VIX be higher? While some think the level is accurate, others feel factors outside of movements in the S&P are playing a part in keeping the VIX depressed. We sat down and discussed how systematic volatility sellers and risk premia funds are potentially keeping the VIX depressed during the latest bout of market volatility with Dennis Davitt at Harvest in NYC. Also in the news this week, we look at insurance firm’s potentially increasing appetite for hybrid options, thanks to the interest rate rise that could see end users dump variable annuities for higher yielding investments. In Asia, the low level of volatility in the Nifty 50 index is making it attractive to deploy option strategies, particularly protection strategies given continued concerns that earnings cuts in India will continue into 2016.