The VIX is easier. There is no bid for protection at the open. Quiet implied volatility is not permission to size up.
The index is concentrated, not broad. Low implied vol on a concentration day describes the megacaps, not the equal-weight book. Protection that looks only at the index protects the wrong line.
The note justifies neither more size nor a purchase of protection.
What the desk is watching
- VIX easier
- No bid for protection
- Quiet implied vol is not a larger size