Posting this as something to revisit later. Zerohedge posted the following recently:
If one observes a conventional indicator of prevailing risk sentiment such as the VIX, which is trading in the low teens and near the lowest levels over the past two years (and far below its long-term average of 20), one would be left with the impression that virtually nothing is keeping Wall Street up at night.
Which led to a thought about VIX as a hedge for things non S&P500. The VIX is derived from the prices of options in the S&P500 and those options are in part priced off of the historic volatility of the S&P index. If the S&P volatility is “dampened” by long gamma, then theoretically the VIX would maybe not reflect true equity market risk?