A Deeper Looking Into VIXThere are issues when it comes to the VIX volatility index's ability to project impending volatility - in part because options themselves are increasingly speculative vehicles rather than mere hedges to the underlying - but there is still a lot to glean from the the implied measures of activity.
Aside from the SKEW in implieds showing tail risk and volatility of volatility gauge showing underlying habits of jumpiness that the VIX alone doesn't well capture, I like the comparison of a shorter and longer duration gauge.
I thought we didn't have any robust short-term implied readings for the US indices space since VXST was scrapped some years ago, but apparently we now have CBOE:VIX9D - which covers is pretty self explanatory - relative to the 30-day traditional index. It's not the 'overnight' relative to '1-week' I like to pull from expensive data providers for FX volatility comparisons, but it can give useful insight.
What do the VIX9D - VIX suggest now? That we are underpricing the potential for a strong reaction (regardless of direction) heading into Wednesday CPI and Friday bank earnings.
