VIX Futures Snapshot – Protection Buyers More Active

by Enis December 5, 2012 2:13 pm • Commentary

I mentioned the interesting rise in the VIX over the last week in my Macro Wrap this morning.  The SPX index is actually a few points higher vs. last week, but VIX spot and VIX front-month futures are up in the past week.  We haven’t seen that in a long while.

Last week’s snapshot:

And the current snapshot:



VIX spot is 0.75 higher and Dec VIX futures are 0.3 higher vs. last Wednesday.  However, the Jan13 futures are flat, and the Feb13 to Aug13 VIX futures are actually slightly lower than last week, about 0.25 across the term structure.

As I wrote in the Macro Wrap, institutions have started buying SPX index put protection in the past few days, but clearly, they’re focusing on buying shorter-dated protection (1 and 2 month maturities) as opposed to anything longer dated.  I think their short-term concern is warranted, and expect market weakness in the next month.