For the second straight week, European headlines have dominated the airwaves, but the SPX index and the VIX futures curve have hardly moved week-over-week. As I’ll show in my Vol Around the World post tomorrow, implied volatility continues to move higher on European headlines in European specific assets, whether equities, bonds or currencies. But its impact on the rest of the volatility market is essentially nil.
Last week’s snapshot:
Just like last week, all maturities are very close to unchanged. As we approach the 3 day holiday, we could see VIX futures start to see some selling tomorrow, particularly if European markets are not jittery overnight.
In actuality, realized volatility in the SPX has remained subdued. 10 day realized volatility is around 9.5, and has not breached 10 in a month, so the indices are not moving much on a close-to-close basis, though intraday volatility is certainly higher than it was for the start of 2013.