While VIX spot has not moved much in the past week, VIX futures continue to be for sale. Realized volatility on the SPX index has averaged 5 over the past 10 days, and even the 30 day realized volatility measure is around 7, not far from the 10 year low of around 6 registered at the start of 2011.
As a result, VIX futures continue to be under pressure from volatility sellers, as buyers of the 3-6 month futures in the mid-teens are not aggressive in this quiet market.
Here is last week’s snapshot:
Not much different from today:
The entire futures curve shifted down in almost parallel fashion. March to Oct VIX futures are down 0.5-1 point, quite a uniform move, and significant given that VIX spot has not declined much in the past week. With this backdrop, even if VIX spot does rally on the next SPX selloff, I don’t anticipate VIX futures to move much higher at first. Clearly, buyers of volatility have a higher threshold than at any point in the past year to get involved in pure long volatility bets.