With that thought in mind, I pulled up a six month chart of the five major US volatility indices: VIX, VXO, VXN, RVX, and VXD. The chart, which comes courtesy of BigCharts, shows that over the past six months, the difference between the volatility indices are no more than subtle nuances. Keep in mind that during this period, the financial sector was extremely hard hit. Moreover, financials are overrepresented in the VIX and VXO, underrepresented in the RVX, and absent from the VXN. The sector distinction is all but lost in the charts (except perhaps from mid-February to mid-March) and if there were ever a time for the indices to diverge in a meaningful way, this was it.

I am not sure I have a great explanation for this behavior. Maybe everything has become so binary, like on one day, Group A goes up and Group B goes down, followed by something of a reversal 2 days later, that net-net everything kind of moves the same? I mean if oil and financial literally offset each other at all times, you may get directional moves one way or another in the spread, but identical volatility.

But whatever, no particular need to explain why this has happened. As long is it persists though, Bill is correct. Keep it simple and look at one volatility index as a proxy for everything.