The content of the note recommends being cautious of short vol trades given VRP compression. However, with the VVIX > 95, are you still executing the overnight SPX trade as recommended on previous posts.
As discussed in your previous comment - VVIX distribution over the past few months has been fundamentally different from what is considered normal, and what was used for the analysis.
It is unwise to put that trade on the same way you would do it with a normal distribution (VVIX average at 90) as long as the distribution is so skewed to the right (The average over the last 3 months has been > 100).
The content of the note recommends being cautious of short vol trades given VRP compression. However, with the VVIX > 95, are you still executing the overnight SPX trade as recommended on previous posts.
As discussed in your previous comment - VVIX distribution over the past few months has been fundamentally different from what is considered normal, and what was used for the analysis.
It is unwise to put that trade on the same way you would do it with a normal distribution (VVIX average at 90) as long as the distribution is so skewed to the right (The average over the last 3 months has been > 100).
So happy to see a recommended link from Kyla! Her content and explainers are fantastic, and so is her book.