$VIX Futures Snapshot – VIX Perks Up

by Enis April 3, 2013 2:39 pm • Commentary

VIX spot is catching a bid today, but for the third week in a row, the VIX futures curve has hardly moved.  Part of it has just been a low volume environment where VIX futures traders have not placed heavy bets, but it also speaks to the push / pull at current levels, similar to the SPX index, which has not moved in the last 3 weeks, with a lot of ups and downs in the interim.

Last week’s snapshot:


Today’s Snapshot:

VIX Futures Snapshot 040313, Courtesy of Bloomberg
VIX Futures Snapshot 040313, Courtesy of Bloomberg


SPX 10 day volatility has been inching higher though, now up to around 11.  For those looking to buy volatility, that’s a better backdrop than most of this year, when the VIX has been low, but realized vol has remained in the single digits.  Perhaps more importantly, earnings season is approaching, and macro data has introduced some renewed uncertainty, so traders will be watching very closely to see how companies report guidance for the next 6 months.  Analysts are still expecting 5-10% earnings growth for the balance of 2013, which goes against company guidance from the most recent earnings season.

VIX spot has moved between 12 and 15 for most of the year, with one spike up to 19.  If this pullback turns into something deeper, I anticipate the VIX to get near the 20 level once again, as there are no holidays until Memorial Day and volume should pick up.