• Three notable elements to the volatility environment in the fall of 2020 are analyzed.
  • The VIX® year-to-date average through October is over 30, more than 50% higher than its long-term average.
  • After a record inversion in March 2020, implied volatility has exceeded realized volatility consistently since April.
  • Reducing equity market risk through index option writing has increased effectiveness in environments featuring elevated implied volatility with positive spreads between implied and realized volatility.