VIX Futures Snapshot – No Realized Volatility

by Enis October 3, 2012 10:23 am • Commentary

Here was the VIX Futures last Wednesday:

 

 

And today:

 

 

The SPX index is up about 0.75% since last Wednesday, but the VIX futures have seen a steeper fall than would be expected on that spot move, mainly because realized volatility in the index has continued to be very low.  VIX futures in the first 3 months are down about 1 point, with farther out months registering substantial drops as well.

The SPX has moved less than 0.3% each day this week, and that’s with a heavy economic calendar that is more than halfway done.  As a result, traders are ratcheting down general volatility expectations even as earnings season approaches.