Here is the VIX Futures Snapshot from August 29th, last week:
Compare that to today:
VIX spot has continued to move higher as we get closer and closer to the main events that traders have been anticipating for about a month now (ECB tomorrow, Payrolls Friday, German Court and FOMC decisions next week). However, Sept VIX futures have sold off about 1 point since the middle of yesterday, from around 19.40 to 18.40 now. As we get more leaks about the ECB meeting tomorrow, and the market continues to trade between 1400 and 1410, traders are reducing their expectations for the future level of implied volatility.
Perhaps more interesting is that the entire VIX futures curve is selling off substantially this week, ahead of those events. Oct VIX futures are down almost 1 full point in the past 2 trading sessions as well. In fact, every VIX futures contract between Nov and Apr13 is down between 0.5 and 1 full point in the past week, even though the events have not taken place. Traders seemed to be waiting for this week, after the Labor Day holiday, for volatility and volume to return to the markets, and the last 2 days’ tepid price action has recalibrated those expectations of volatility.
Buying options premium in the SPX index (on which VIX is measured) has been futile for one month now. VIX traders are telling the market to show them the volatility before they buy VIX futures, regardless of whether there is a heavy upcoming event calendar or not.