The same week they took on bears who warn low stock volatility is a recipe for high stock volatility, New York Federal Reserve staffers are back with a rebuttal for everyone who says the record-low VIX signals complacency.
"This time may indeed be different, at least as measured by market participants' pricing of risk," the researchers wrote Wednesday.
Looking at a VIX-like index with longer-dated options, the authors say the market is "pricing in implied volatility of around 19% in one or two years' time. It follows that implied volatility is priced to rise rapidly," they wrote.