VIX spot is back down to near the 12 level, as the SPX makes a new all-time high today. VIX spot has actually held up a bit today, but VIX futures are seeing a more substantial move lower on the day.
Last week’s snapshot:
Apr VIX futures are down more than 1 point in the past week. The rest of the futures all the way out to Dec13 are down 0.5-1 point, the largest down move in the back end of the futures curve that we’ve seen over the past month (the front few months were moving a bit, but the back of the futures curve was very stable).
VIX is still in bull market mode. Readings in the low teens have historically been associated with uptrend environments, as shown by the 20 year monthly chart of the VIX:
In this environment, long premium has been a difficult proposition. As earnings season starts, it will be interesting to see whether single name volatility is underpriced as a result.