The SPX index is up about 1.25% in the last week. Yet, VIX futures are close to unchanged in that time (and VIX spot is actually slightly higher). That’s rare price action, especially with the holiday quiet season fast approaching. Of course, that leaves one main culprit: fiscal cliff concerns.
Last week’s snapshot:
As the market has rallied, VIX futures are down 0.25-0.5 point across all maturities in the past week. Normally, with Christmas and New Year’s both within the next 2 weeks, you would at least see spot VIX tick lower as the market moved higher as options buyers left the market. But this year, you’re seeing options buyers remain active. The options market was unconcerned with the fiscal cliff fears at the start of the month, but now it’s starting to show some desire for protection even though the stock market is seemingly giving the all clear signal.