How much difference a week makes. Last week, the market was near the heights of QE – unlimited euphoria. VIX futures were near 3 year lows.
Here is the VIX Futures snapshot from last week:
In the past 2 days, the market has given back all of its post-FOMC gains. Here is the VIX Futures Snapshot for today:
VIX spot is up the most, as is normal in a steeply upward sloping VIX environment. But the farther out futures contracts have seen a decent rally as well. Nov and Dec VIX futures are both up more than a full point.
Having said that, the VIX is still sitting at a relatively low level compared to the past 5 years. VIX futures are rallying quite a bit today, but yesterday and today’s moves are not huge in realized terms. Yesterday’s move was 1%, and today’s is currently about 0.6%, for an average of 0.8%. For VIX spot to return to levels above 20, the market has to move more violently in both directions than it has been moving for most of 2012. Even during the downdraft in May, the market only realized more than 20 for brief 10 day periods. 30 day realized volatility for SPX has not been above 20 since the very beginning of 2012.
Bottom line, VIX futures are higher, from extremely low levels. But they are not sending the signal of much increased volatility for the time being.