Doubling Down on Bad VIX Bets Means Paying Most Since '13: Chart

Betting that the stock market will get more volatile has been one of the worst trades amid a 13 percent rebound in U.S. stocks. It was also one of the most popular, with a record $2 billion added in the last six weeks to exchange-traded products that benefit from a rise in the Chicago Board Options Exchange Volatility Index, the gauge known as the VIX. That rush to own volatility funds is now being reflected in the prices of VIX futures contracts, which have risen to the highest relative to the VIX’s current trading level since 2013, according to Barclays Plc’s Maneesh Deshpande. A measurement known as the “roll cost” -- the amount which traders stand to lose as they hold onto expiring contracts -- is 14 percent, the most since March 2013, Barclays data show.

To continue reading this article you must be a Bloomberg Professional Service Subscriber.