Interesting move in VIX spot and VIX futures over the last few hours. The VIX had remained elevated this week despite the SPX index advance because of the Fed event today, but we saw VIX selling today ahead of the event as some obviously gave up on long vol positions. Here is the 3 day intraday chart of July VIX Futures, the front month contract:
Today’s move has sent VIX spot to its lowest level since June 10th, prior to the highly anticipated Fed announcement. VIX Futures are down between 0.25 and 1 point compared to Friday.
Here is last week’s snapshot from June 14th:
Compare that to today’s snapshot:
I mentioned in yesterday’s Macro Wrap that we view moves below 15 in the VIX as buying opportunities for volatility, particularly given the recent elevated nature of realized volatility in the SPX. If the VIX does get hammered following the announcement this afternoon, we will be looking at a bullish VIX structure in July or August, likely similar to the structure we took off last week in June.