$VIX Futures Snapshot – SPX and VIX Same Spot as Last Week

by Enis March 20, 2013 2:21 pm • Commentary

With the FOMC announcement in minutes, the SPX and VIX futures have hardly gone anywhere in the past week.

VIX spot is a bit higher, and intraday volatility has picked up this week, but close-to-close volatility remains quite subdued, as the 10 day realized volatility measure for the SPX is only 6.5.  On the other hand, VIX spot itself has actually been quite volatile (how much the VIX index itself moves back and forth), indicating some potential jitters going forward.

Last week’s snapshot:

VIX Futures Snapshot 031313, Courtesy of Bloomberg
VIX Futures Snapshot 031313, Courtesy of Bloomberg

Today’s Snapshot:

VIX Snapshot 032013, Courtesy of Bloomberg
VIX Snapshot 032013, Courtesy of Bloomberg

Since March expired, comparing Apr to Nov VIX Futures, it’s amazing how little they have moved in the past week.  All maturities are very close to unchanged.

With the FOMC looking like a non-event, and Cyprus only affecting the market for a couple days (similar to the Italian elections in February), the natural question to ask might be, what’s going to cause incremental volatility going forward?  Clearly, buyers have been around on each potential negative catalyst.  And volatility sellers have been rewarded for fading the negative headlines as well.

However, I still think it’s worth noting some of the weakness in other asset markets like commodities and currencies, and the resilience of bonds.  For now though, equity markets continue their low volatility ways.