The SPX index is up about 1.75% in the last week, and we’ve seen the entire VIX futures curve come down as the market has rallied. Today’s Fed meeting announcement has actually caused very little movement across the VIX term structure, indicating that the focus of most traders remains the Fiscal Cliff negotiations.
Last week’s snapshot:
As the market has rallied, VIX futures are down 0.4 – 1 point across all maturities in the past week. Clearly, the market is expecting a more positive outcome from the cliff than it was one week ago, though I am scratching my head to figure out exactly why that’s the case. Perhaps it’s simply a result of the deadline approaching, which has traders anticipating a positive resolution sooner rather than later. Regardless, I think it’s likely to be a sell-the-news event, as I laid out in my CotD post earlier this week.