While it’s been quite a rocky ride in the past week, the SPX index is actually only down about 10 handles from last Wednesday’s close to today. VIX spot is about a point higher than it was last week, but the VIX Futures curve is almost identical to where it was a week ago.
Here is last week’s snapshot:
Compare that to today’s snapshot:
Incredibly, every single VIX futures contract is within 0.15 point of where it was when I took last week’s snapshot, a very, very stable contract curve in the face of a good bit of SPX volatility. Open interest has also hardly changed in most of the futures contracts, with July VIX the only contract seeing much of an uptick.
All of that speaks to a quiet market before and after the Memorial Day holiday. My expectation is for more activity in the VIX now that most traders are back at their desk. As I’ve been saying for a month now, commodity and currency volatility have been high for a while, which usually leads to equity volatility at some point. I am still long June VIX through this options trade.