What a wild week in the VIX. Here and here are a couple posts I’ve already written on the topic this week, and it’s only Wednesday. VIX spot is currently around 17, and it has been above 14 for most of the week. It’s near the highest level of 2013, which was a 19.28 print made on Feb. 25th. VIX futures are also, not surprisingly, much higher compared to a week ago.
So VIX spot has made the biggest move, as is to be expected since it was at 12.65 last week. May VIX futures are up 1.5 points, but June is only up 1 point, and the rest of the VIX futures curve is only up 0.5 point.
I’m particularly surprised by the lack of movement in the back end of the VIX curve. Of course the front end of the curve is more volatile to big moves since the back end is still far away from expiry, but the increase in realized volatility that we’ve seen this week is larger than at any prior point in 2013. As a result, I would have expected a greater movement in even the 6 month VIX futures than we’ve seen.
Regardless, this week’s price action makes me think that we won’t see the VIX at 12 for quite a while, no matter what the market does. It has introduced some new jitters that will have traders thinking twice about selling volatility.