VIX Futures Snapshot – Almost Identical Week over Week

by Enis October 31, 2012 2:12 pm • Commentary

The market is basically unchanged in the past week (1410, with a tight range between 1400 and 1420 in SPX cash).  Here is where VIX futures stood a week ago:



There are only some slight differences when we look at the futures curve today:


Every single VIX futures contract is trading within half a point of where it was last week, a relatively rare occurrence, as previous VIX snapshots have shown.  Though realized volatility has moved significantly lower in the past week (since last Wednesday, each move has been 0.3% or lower, with 2 days of closed sessions thrown in), SPX option traders are holding on to their long premium positions.

The economic data dump tomorrow and Friday and the elections next Tuesday are the focus of macro investors.  If markets fail to react to those events, then you will likely see VIX futures sell off rapidly, to fall back into line with the low realized volatility within this new range.