We recently have received the following questions:
(1) has the CBOE Volatility Index® (VIX®) recently been at relatively low levels? and
(2) if so, how much of an allocation might I make to VIX futures and options in order to diversify my portfolio?
In 2012 the average daily closing value of the VIX was 17.8, its lowest such value since 2007 (see Chart 1 below). Both the VIX spot index and the VIX Jan. 2013 futures closed below 16 on all of the trading days so far this calendar year (through Jan. 14th) (see Chart 2 below for the last month’s prices that fluctuated in regard to the fiscal cliff outlook).