Subject: Re: OT: Volatiility
the current value of the VIX does not track the current value of VIX
Were you perhaps thinking of the VIX futures fund VXX not tracking the current value of VIX?

Yup, typo, I left out a word. What I meant to say was:
the current value of the VIX futures does not track the current value of VIX

(instead what it tracks is the market's best guess of what it will be on the expiry date of the futures contract, which generally embodies the assumption of quite a bit of mean reversion)
A long time ago I spent some time coming up with a system for trading VIX, and it was insanely profitable in backtest. Until I realized you can't trade the VIX as such.

In an unrelated comment, I find the one year equivalent of the VIX to be more interesting sometimes. The VIX is based on the prices of options one month ahead, which means it's a very short term outlook, but there is a different index (sometimes ticker ^VIX1Y) that looks at the price of options expiring a year out. This captures a very different kind of jitters versus complacency. For example, I'm pretty sanguine about the next month but have serious doubts about the floor over the next year.

Right now the one year volatility index is around 18.5, not far above its all time lows around 16. It has fallen gradually over the last two years from around 31-32. One possible translation: "the market" thinks the next year will be very calm. Another possible translation: if you want to take the other side of that bet, the options to do so are currently very reasonably priced compared to history.

Jim