Is volatility about to spike? It's a question frequently asked by anxious investors in times of relative calm. Now there's a new answer.
In a recent paper entitled "Forecasting a Volatility Tsunami" that was awarded the 2017 Charles H. Dow Award from the Market Technicians Association, Andrew Thrasher argues that it's not low volatility that presages a volatility spike, but a consistent level of volatility.
Thrasher, a portfolio manager at the Indianapolis-based Financial Enhancement Group, explained in a interview Monday on CNBC's "Trading Nation" that while "it's commonly reported that whenever the volatility index gets to a really low level like we've seen this year, it will often mean revert and spike higher ... I thought that seemed way too easy."