$VIX Futures Snapshot – Even Mar14 and Apr14 Futures Down A Point

by Enis August 2, 2013 2:13 pm • Commentary

The SPX index had traded in basically a 25 point range for the second half of July, and realized volatility grinded to a halt.  Yesterday’s breakout has changed that picture:

15 day intraday chart of SPX index, Courtesy of Bloomberg
15 day intraday chart of SPX index, Courtesy of Bloomberg

VIX Futures have also made a new low in the past 2 days on the breakout higher, though VIX spot has remained above 12, a level it has closed under only 4 times all year.

Here is last week’s snapshot:

VIX Futures Snapshot 072613, Courtesy of Bloomberg
VIX Futures Snapshot 072613, Courtesy of Bloomberg

Compare that to today’s snapshot:

VIX Futures Snapshot 080213, Courtesy of Bloomberg
VIX Futures Snapshot 080213, Courtesy of Bloomberg

Once again, the re-pricing lower in VIX Futures is not just in the front month.  Aug, Sept, and Oct futures are all down more than 1 point, and even Mar14 and Apr14 Futures are down around 1 point as well.

Given that 30 day realized volatility in the SPX index is down to 9, it will likely take a sustained bout of volatility to get the VIX to move back above 15 in the coming weeks.