European risk has never traded at such an extreme level relative to US risk… ever. But when looking for the best bang for your Greferendum-trading buck – are you better off buying higher vol in Europe or lower US vol? Or, as Goldman Sachs explains below, what are the highest payouts on bets for a rebound…
Europe is pricing significant event risk while the VIX @16 is only 1 pt above its 2015 avg – Europe’s “VIX” trades at more than double that of US “VIX” – this has never happened before…